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ISRN Probability and StatisticsVolume 2012 2012, Article ID 649134, 12 pages

Research ArticleDepartment of Economics, Swansea University, Singleton Park, Swansea SA2 8PP, UK

Received 9 March 2012; Accepted 24 April 2012

Academic Editors: D. Fiems, J. Perelló, and M. Scotto

Copyright © 2012 Steve Cook. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


Using numerical simulation, the finite-sample properties ofthreshold autoregressive TAR and momentum-threshold MTAR autoregressive-based unit root tests under both deterministic and consistent methods ofthreshold estimation are examined in the presence of generalisedautoregressive conditional heteroskedasticity GARCH. Previous research isextended by considering both the impact of alternative robust methods ofcovariance matrix estimation and the behaviour of the secondary tests ofasymmetry associated with the TAR and MTAR models. The results obtainedreveal many interesting features, in particular the distortionary effects ofconsistent-threshold estimation. In summary, the findings presented indicatethat caution should be exercised when interpreting the results of thesefrequently employed threshold-based testing methods.

Autor: Steve Cook



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