This paper develops a test of the unit root null hypothesis against a stationary threshold process. This testing problem is nonstandard and complicated because a parameter is unidentified and the ...
In this paper we extend the large-sample results provided for the augmented Dickey—Fuller test by Said and Dickey (1984, Biometrika 71, 599—607) and Chang and Park (2002, Econometric Reviews 21, ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback