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- W2073529477 abstract "Abstract We develop a sign test for unit roots in a momentum threshold autoregressive (MTAR) process. The proposed test is robust to heteroscedastic or heavy-tailed errors and is invariant to monotone data transformation. Exact and limiting null distributions and consistency of the test are established. A Monte Carlo study shows that the proposed test has stable size under various heteroscedastic or heavy-tailed errors and has better power against alternatives of a partial unit root or different autoregressive coefficients than the sign test of So and Shin [2001. An invariant sign test for random walks based on recursive median adjustment. J. Econometrics 102, 197–229]." @default.
- W2073529477 created "2016-06-24" @default.
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- W2073529477 date "2006-05-01" @default.
- W2073529477 modified "2023-10-17" @default.
- W2073529477 title "A sign test for unit roots in a momentum threshold autoregressive process" @default.
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- W2073529477 doi "https://doi.org/10.1016/j.spl.2005.11.005" @default.
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