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Estimation in threshold autoregressive models with a stationary and a unit root regime

  • Gao, Jiti
  • Tjøstheim, Dag
  • Yin, Jiying
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This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models has basically focused on models where the nonstationarity can be removed by differencing and/or where the threshold variable is stationary. This is not the case for the process we consider, and nonstandard estimation problems are the result.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 172 (2013)
Issue (Month): 1 ()
Pages: 1-13

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Handle: RePEc:eee:econom:v:172:y:2013:i:1:p:1-13
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  1. Qiying Wang & Peter C.B. Phillips, 2008. "Structural Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1657, Cowles Foundation for Research in Economics, Yale University.
  2. Qiying Wang & Peter C.B. Phillips, 2006. "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1594, Cowles Foundation for Research in Economics, Yale University.
  3. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  4. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  5. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
  6. Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation for Research in Economics, Yale University.
  7. Myklebust, Terje & Karlsen, Hans Arnfinn & Tjøstheim, Dag, 2012. "Null Recurrent Unit Root Processes," Econometric Theory, Cambridge University Press, vol. 28(01), pages 1-41, February.
  8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  9. Peter C.B. Phillips & Joon Y. Park, 1998. "Nonstationary Density Estimation and Kernel Autoregression," Cowles Foundation Discussion Papers 1181, Cowles Foundation for Research in Economics, Yale University.
  10. Jia Chen & Jiti Gao & Degui Li, 2009. "Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series," School of Economics Working Papers 2009-02, University of Adelaide, School of Economics.
  11. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  12. Gao, Jiti & King, Maxwell & Lu, Zudi & Tjøstheim, Dag, 2009. "Nonparametric Specification Testing For Nonlinear Time Series With Nonstationarity," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1869-1892, December.
  13. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  14. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
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