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, ...
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 ...
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