Adaptive consistent unit-root tests based on autoregressive threshold model

Journal of Econometrics

Volumn 142, Issue 1, 2008, Pages 94-133

  Bec, Frédérique ^a   Guay, Alain ^b,c   Guerre, Emmanuel ^d  

^a CREST   (France)

^b UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

^c Canada H3A 2T7   (Canada)

^d QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Term structure of interest rates; Threshold autoregressive model; Unit root test

Indexed keywords

ASYMPTOTIC ANALYSIS; MATHEMATICAL MODELS; REGRESSION ANALYSIS; SET THEORY;

INTEREST RATES; THRESHOLD AUTOREGRESSIVE MODELS; UNIT-ROOT TEST;

ADAPTIVE SYSTEMS;

EID: 36148988368     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.05.011     Document Type: Article

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