{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T00:20:28Z","timestamp":1791159628399,"version":"4.1.0"},"reference-count":27,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2008,7,17]],"date-time":"2008-07-17T00:00:00Z","timestamp":1216252800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2008,12]]},"abstract":"<jats:p>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 process is nonstationary under the null hypothesis. We derive an asymptotic distribution for the test, which is not pivotal without simplifying assumptions. A residual-based block bootstrap is proposed to calculate the asymptotic<jats:italic>p<\/jats:italic>-values. The asymptotic validity of the bootstrap is established, and a set of Monte Carlo simulations demonstrates its finite-sample performance. In particular, the test exhibits considerable power gains over the augmented Dickey\u2013Fuller (ADF) test, which neglects threshold effects.<\/jats:p>","DOI":"10.1017\/s0266466608080663","type":"journal-article","created":{"date-parts":[[2008,7,17]],"date-time":"2008-07-17T08:47:17Z","timestamp":1216284437000},"page":"1699-1716","source":"Crossref","is-referenced-by-count":30,"title":["UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP"],"prefix":"10.1017","volume":"24","author":[{"given":"Myung Hwan","family":"Seo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2008,7,17]]},"reference":[{"key":"S0266466608080663_ref027","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012032"},{"key":"S0266466608080663_ref024","unstructured":"Seo M. (2005) Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-Based Block Bootstrap. 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