COMMENT ON: THRESHOLD AUTOREGRESSIONS WITH A UNIT ROOT
COMMENT ON: THRESHOLD AUTOREGRESSIONS WITH A UNIT ROOT
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评论：具有单位根的阈值自回归
DOI：
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发表时间：
2008
期刊：
影响因子：
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通讯作者：
Jean
中科院分区：
文献类型：
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作者：
Jean
本文回顾了Caner和汉森（2001）的结果，其中作者得到了Wald型检验统计量的新的极限分布，用于检验含有单位根的自回归模型中是否存在阈值非线性。使用相同的框架，我们得到了一个新的配方的极限分布的Wald统计量的阈值效应的测试，纠正了一个表达式，出现在由Caner和汉森提出的主要定理。随后，我们表明，在一个特定的情况下，排除平稳回归，如滞后的因变量，尽管存在单位根，这个相同的限制随机变量采取一个熟悉的形式，是免费的滋扰参数，并已在文献中列出，从而消除了需要使用自举推理。这是一个新的和不寻常的发生在这方面的文献测试非线性动力学的存在。
In this paper we revisit the results in Caner and Hansen (2001), where the authors obtained novel limiting distributions of Wald type test statistics for testing for the presence of threshold nonlinearities in autoregressive models containing unit roots. Using the same framework, we obtain a new formulation of the limiting distribution of the Wald statistic for testing for threshold effects, correcting an expression that appeared in the main theorem presented by Caner and Hansen. Subsequently, we show that under a particular scenario that excludes stationary regressors such as lagged dependent variables and despite the presence of a unit root, this same limiting random variable takes a familiar form that is free of nuisance parameters and already tabulated in the literature, thus removing the need to use bootstrap based inferences. This is a novel and unusual occurrence in this literature on testing for the presence of nonlinear dynamics.