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Testing parameter constancy in unit root autoregressive models against multiple continuous structural changes
Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
2012 (engelsk)Inngår i: Econometric Reviews, ISSN 0747-4938, E-ISSN 1532-4168, Vol. 31, nr 1, s. 34-59Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This article considers tests for logistic smooth transition autoregressive (LSTAR) models accommodating multiple time dependent transitions between regimes when the data generating process is a random walk. The asymptotic null distributions of the tests, in contrast to the standard results in Lin and Teräsvirta (1994), are nonstandard. Monte Carlo experiments reveal that the tests have modest size distortions and satisfactory power against LSTAR models with multiple smooth breaks. The tests are applied to Swedish unemployment rates and the hysteresis hypothesis is over-turned in favour of an LSTAR model with two transitions between extreme regimes.

sted, utgiver, år, opplag, sider
New York: Taylor & Francis , 2012. Vol. 31, nr 1, s. 34-59
Emneord [en]
Brownian motion; LSTAR; Multiple regimes; Parameter constancy; Strong mixing; Structural breaks; Unemployment rates; Unit root.
HSV kategori
Forskningsprogram
Komplexa system - mikrodataanalys
Identifikatorer
URN: urn:nbn:se:du-6025DOI: 10.1080/07474938.2011.607085ISI: 000305513000002OAI: oai:dalea.du.se:6025DiVA, id: diva2:520475
Tilgjengelig fra: 2011-10-27 Laget: 2011-10-27 Sist oppdatert: 2017-12-07bibliografisk kontrollert

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