Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097185 | Journal of Econometrics | 2008 | 16 Pages |
Abstract
This paper derives the limiting distribution of the Lagrange Multiplier (LM) test for threshold nonlinearity in a TAR model with GARCH errors when one of the regimes contains a unit root. It is shown that the asymptotic distribution is nonstandard and depends on nuisance parameters that capture the degree of conditional heteroskedasticity and non-Gaussian nature of the process. We propose a bootstrap procedure for approximating the exact finite-sample distribution of the test for linearity and establish its asymptotic validity.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Nikolay Gospodinov,