Jointly testing linearity and nonstationarity within threshold autoregressions

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 117
Issue: 2
Pages: 411-413

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A Wald type test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components is developed. Its limiting distribution is derived and its local power and finite sample properties investigated.

Technical Details

RePEc Handle
repec:eee:ecolet:v:117:y:2012:i:2:p:411-413
Journal Field
General
Author Count
1
Added to Database
2026-01-29