Unit-root test within a threshold ARMA framework

23 Feb 2020 Chan Kung-Sik Giannerini Simone Goracci Greta Tong Howell

We propose a new unit-root test based on Lagrange Multipliers, where we extend the null hypothesis to an integrated moving-average process (IMA(1,1)) and the alternative to a first-order threshold autoregressive moving-average process (TARMA(1,1)). This new theoretical framework provides tests with good size without pre-modelling steps... (read more)

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  • METHODOLOGY
  • ECONOMETRICS
  • STATISTICS THEORY
  • STATISTICS THEORY