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Simulation Analysis of Threshold Autoregressive Unit Root Tests
Author
Source
ISRN Probability and Statistics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-06-20
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Using numerical simulation, the finite-sample properties of threshold autoregressive (TAR) and momentum-threshold (MTAR) autoregressive-based unit root tests under both deterministic and consistent methods of threshold estimation are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH).
Previous research is extended by considering both the impact of alternative robust methods of covariance matrix estimation and the behaviour of the secondary tests of asymmetry associated with the TAR and MTAR models.
The results obtained reveal many interesting features, in particular the distortionary effects of consistent-threshold estimation.
In summary, the findings presented indicate that caution should be exercised when interpreting the results of these frequently employed threshold-based testing methods.
American Psychological Association (APA)
Cook, Steve. 2012. Simulation Analysis of Threshold Autoregressive Unit Root Tests. ISRN Probability and Statistics،Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-488093
Modern Language Association (MLA)
Cook, Steve. Simulation Analysis of Threshold Autoregressive Unit Root Tests. ISRN Probability and Statistics No. 2012 (2012), pp.1-12.
https://search.emarefa.net/detail/BIM-488093
American Medical Association (AMA)
Cook, Steve. Simulation Analysis of Threshold Autoregressive Unit Root Tests. ISRN Probability and Statistics. 2012. Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-488093
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-488093