The validity of bootstrap testing for threshold autoregression

• Published in: Journal of Econometrics
• Main Authors: Giannerini, Simone, Goracci, Greta, Rahbek, Anders
• Format: Article in Journal/Newspaper
• Language: English
• Published: 2023
• Subjects: Bootstrap test Threshold autoregressive models Law of large numbers Heteroskedasticity Greenland ice sheet; Greenland; Lagrange; Ice Sheet
• Online Access: https://hdl.handle.net/11585/913284; https://doi.org/10.1016/j.jeconom.2023.01.004

We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be biased in case of small, or even moderate sample sizes, especially when the estimated parameters indicate non-stati...