Skip to main navigationSkip to main content
The University of Southampton
EconomicsPart of Economic, Social and Political Science

1206 Jointly Testing Linearity and Nonstationarity Within Threshold Autoregressions (J. Pitarakis)

Jointly Testing Linearity and nonstationarity within threshold Autoregressions.

Author: Jean-Yves Pitarakis (University of Southampton)

Paper number: 1206


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 finite 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.

Useful Downloads

Need the software?PDF Reader
Privacy Settings