Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

Journal of Econometrics

Volumn 146, Issue 1, 2008, Pages 146-161

  Gospodinov, Nikolay ^a,b  

^a Dept of Electrical and Computer Engineering   (Canada)

^b Canada H3A 2T7   (Canada)

Author keywords

Bootstrap; GARCH; Threshold autoregressive model; Two parameter Brownian motion; Unit root process

Indexed keywords

ASYMPTOTIC ANALYSIS; DISTRIBUTION FUNCTIONS; LAGRANGE MULTIPLIERS; LINEARIZATION; TAR;

ASYMPTOTIC DISTRIBUTIONS; BOOTSTRAP; CONDITIONAL HETEROSKEDASTICITY; GARCH; LAG RANGE; LIMITING DISTRIBUTIONS; NON LINEARITIES; NON-GAUSSIAN; NUISANCE PARAMETERS; SAMPLE DISTRIBUTIONS; TAR MODEL; THRESHOLD AUTOREGRESSIVE MODEL; TWO-PARAMETER BROWNIAN MOTION; UNIT ROOT PROCESS; UNIT ROOTS;

TESTING;

EID: 52149110320     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.004     Document Type: Article

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