Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship

By F. Bec, Mélika Ben Salem, M. Carrasco. 2004

139 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/bd16fb5e27eda33df303ae3a3fa7be4625f8e0e8

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In Economics and Econometrics

1. M. Stigler
2. Rehim Kilic
3. A. Prakash
4. edited by
5. B. Hansen
6. Xinyu Zhang
7. Donghyeon Kim
8. Liangjun Su

Citations in the corpus

• Safeguarding food security in volatile global markets. (2011, methodology): “Modifications where the transition is abrupt (as in threshold models) have also been applied to similar hypotheses (Bec et al., 2004) and for the interest rate spread (Bec et al.”
• TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS (2016, unknown): “Suppose that we are interested in modelling the transition between two regimes given by the unit root regime yt = yt−1 + ut (1) and the mean-reverting regime 4yt = λyt−1 + ut (2) with λ < 0, where (ut) is the zero mean sequence of errors that will be more precisely specified later.”
• Testing for a unit root in a stationary ESTAR process (2011, background): “( 2004 ), Kapetanios and Shin ( 2003 )Kapetanios and Shin ( 2006 , de Jong et al.”
• Threshold autoregression in economics (2011, background): “Bec, Salem and Carrasco [14] show that a set of European exchange rates reject the null hypothesis of a linear unit root process in favor of the alternative that the series are stationary three-regime SETAR models.”
• Threshold cointegration: overview and implementation in R (2013, background): “Chan and Tong (1985) established the sufficient condition that P Kapetanios and Shin (2006) require stationarity 8 of the outer regimes, whereas Bec et al. (2004) establish weaker conditions, which have a less intuitive interpretation.”
• The ACR Model: A Multivariate Dynamic Mixture Autoregression (2008, unknown): “Testing for a unit root in multiple regimes is treated in Caner and Hansen (2001) and Bec et al. (2004).”