UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP

By Myung Hwan Seo. Econometric Theory, 2008

65 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5df50f1c40b0682fa93122603e319aac2e74b8e1

How researchers see this paper

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In Economics and Econometrics

1. B. Hansen
2. Xinyu Zhang
3. Donghyeon Kim
4. Liangjun Su
5. Guohua Zou
6. L. Godfrey
7. Giuseppe Cavaliere
8. Mark F. J. Steel

In Finance

1. B. Hansen
2. Giuseppe Cavaliere
3. Alan M. Taylor
4. L. Godfrey
5. Liangjun Su
6. Todd E. Clark
7. David E. Rapach
8. Michael W. McCracken

In Statistics and Probability

1. B. Hansen
2. Xinyu Zhang
3. Guohua Zou
4. Liangjun Su
5. Xun Lu
6. Hua Liang
7. Mark F. J. Steel
8. Alan T. K. Wan

Citations in the corpus

• Threshold autoregression in economics (2011, background): “As an alternative, Seo and Linton [74] propose a smoothed least squares estimator which achieves an asymptotic normal distribution and produces confidence intervals with excellent coverage performance .”
• TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS (2016, unknown): “Several variations of this class of transitional autoregressive model were considered by Caner and Hansen (2001), Kapetanios and Shin (2003) and Seo (2003).”