TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS.

This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t-ratios for the coefficient of a parametrized transition function. Our test allows for very flexible specifications of the transition function and short-run dynamics an...

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Detalles Bibliográficos

Publicado en:	International Economic Review Vol. 57; no. 2; pp. 635 - 665
Autores principales:	Park, Joon Y., Shintani, Mototsugu
Formato:	Artículo
Publicado:	Wiley-Blackwell May2016
Materias:	Autoregression (Statistics) Regression analysis Numerical analysis Finite difference method Extrapolation
Acceso en línea:	Ver este registro en EBSCOhost