Testing for a Unit Root against Transitional Autoregressive Models

@inproceedings{Park2005TestingFA,
  title={Testing for a Unit Root against Transitional Autoregressive Models},
  author={Joon Young Park},
  year={2005}
}
This paper considers the test of a unit root in transitional autoregressive models. In particular, we develop the asymptotic theory of the inf-t test for the null hypothesis of a unit root in a wide class of nonlinear autoregressive models having parameters that are identified only under the alternative of stationarity. Our framework is very general and… CONTINUE READING