Using numerical simulation, the finite-sample properties of threshold autoregressive TAR and\r\nmomentum-threshold MTAR autoregressive-based unit root tests under both deterministic\r\nand consistent methods of threshold estimation are examined in the presence of generalised\r\nautoregressive conditional heteroskedasticity GARCH. Previous research is extended by\r\nconsidering both the impact of alternative robust methods of covariance matrix estimation and\r\nthe behaviour of the secondary tests of asymmetry associated with the TAR and MTAR models.\r\nThe results obtained reveal many interesting features, in particular the distortionary effects of\r\nconsistent-threshold estimation. In summary, the findings presented indicate that caution should\r\nbe exercised when interpreting the results of these frequently employed threshold-based testing\r\nmethods.
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