Comment on: Threshold autoregressions with a unit root

Econometrica

Volumn 76, Issue 5, 2008, Pages 1207-1217

  Pitarakis, Jean Yves ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Nonlinear time series; Threshold autoregressive models; Unit roots

Indexed keywords

EID: 51349102663     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA6979     Document Type: Article

References (5)

1. Andrews, D. W. K. (1993 Tests for Parameter Instability and Structural Change With Unknown Change Point Econometrica, 61, 821 856.
2. Caner, M., and B. E. Hansen (2001 Threshold Autoregression With a Unit Root Econometrica, 69, 1555 1596.
3. Hansen, B. E. (1996 Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis Econometrica, 64, 413 430.
4. Hansen, B. E. (1997 Approximate Asymptotic p-Values for Structural Change Tests Journal of Business and Economic Statistics, 15, 60 67.
5. Park, J. Y., and P. C. B. Phillips (1988 Statistical Inference in Regressions With Integrated Processes: Part 1 Econometric Theory, 4, 468 497.