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Jointly testing linearity and nonstationarity within threshold autoregressions

  • Pitarakis, Jean-Yves

We develop a test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components. We derive the limiting distribution of a Wald type test statistic and subsequently investigate its local power and nite sample properties. We view our test as a useful diagnostic tool since a non rejection of our null hypothesis would remove the need to explore nonlinearities any further and support a linear autoregression with a unit root.

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File URL: http://mpra.ub.uni-muenchen.de/38845/1/MPRA_paper_38845.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 38845.

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Date of creation: May 2012
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Handle: RePEc:pra:mprapa:38845
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  1. Jean-Yves Pitarakis, 2008. "Comment on: Threshold Autoregressions With a Unit Root," Econometrica, Econometric Society, vol. 76(5), pages 1207-1217, 09.
  2. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
  3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  4. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  5. Pitarakis, Jean-Yves, 2011. "Joint Detection of Structural Change and Nonstationarity in Autoregressions," MPRA Paper 29189, University Library of Munich, Germany.
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