THRESHOLD AUTOREGRESSION WITH A UNIT ROOT

By Mehmet Caner, B. Hansen. 2001

744 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3586cd2b574cac0d4b3c0f350d39f3324ee14724

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In Economics and Econometrics

Citations in the corpus

Adaptive consistent unit-root tests based on autoregressive threshold model (2008, methodology): “Note also that the critical values of the test based upon unbounded LUT are larger in small and medium samples than the ones associated to bounded L B T , Caner and Hansen (2001), in analogy with a discussion in Andrews (1993) concerning trimming in tests for a structural change, have already argued”
The Dynamics of Crude Oil Price Differentials (2010, neutral): “Caner and Hansen (2001) find that under the restriction of a unit root process, the asymptotic distribution of W T depends on the data structure, which implies that critical values cannot be tabulated, and, therefore, the authors suggest two bootstrap methods to approximate the asymptotic…”
LIMITED TIME SERIES WITH A UNIT ROOT (2005, methodology): “estimated by the autoregressive estimator AAR with number of lags k equal to 12, which corresponds to the lag length selected by means of the BIC and the MAIC criteria; k = 12 is also the lag length selected by Caner and Hansen (2001). The range statistic based on X2R, pAR, is also reported.”
TESTING FOR A LINEAR MA MODEL AGAINST THRESHOLD MA MODELS (2005, positive): “Hansen [18] obtained a new limiting distribution for TAR models with changing parameters; see also [19].”
Threshold autoregression in economics (2011, background): “Tests allowing for estimated thresholds have been explored by Caner and Hansen [17], Lanne and Saikkonen [52], Kapetanios and Shin [47], Pitarakis [65], Bec, Guay and Guerre [12] and Seo [72].”
Testing for two-regime threshold cointegration in vector error-correction models (2002, background): “As shown in Chan (1993) and Hansen (2000a), threshold estimates have non-standard distributions, and working out such distribution theory is challenging.”
Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship (2004, background): “, Caner and Hansen 2001; Shin and Lee 2001; Gonzalez and Gonzalo 1998). This approach is of less interest for studying the PPP puzzle. Testing the unit root versus a threshold alternative where the threshold variable is the same as the dependent variable is both better adapted to the issue and more ”
TAR-cointegration neural network model: An empirical analysis of exchange rates and stock returns (2010, methodology): “A detailed study about using Caner and Hansen (2001) test in TAR cointegration approach was suggested by Bildirici and Aykaç Alp (2008).”
Testing for a unit root in a stationary ESTAR process (2011, background): “Among others, Enders and Granger ( 1998 ), Gonzalez and Gonzalo ( 1998 ), Berben and van Dijk ( 1999 ), Caner and Hansen ( 2001 ), Seo ( 2003 ), Bec et al.”
Nested sub-sample search algorithm for estimation of threshold models (2016, background): “Other significant results related to threshold models include Tsay (1989, 1998), Hansen (1996), Caner and Hansen (2001), Gonzalo and Wolf (2005), Seo and Linton (2007), and Yu (2012), among others.”