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Testing for the extent of instability in nearly unstable processes

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  • Marie Badreau
  • Frédéric Proïa

Abstract

This article deals with unit root issues in time series analysis. It has been known for a long time that unit root tests may be flawed when a series although stationary has a root close to unity. That motivated recent papers dedicated to autoregressive processes where the bridge between stability and instability is expressed by means of time‐varying coefficients. The process we consider has a companion matrix An with spectral radius ρ(An) α0’ when ρ(An) lies in an inner O(n−α)‐neighborhood of the unity, for some 0

Suggested Citation

  • Marie Badreau & Frédéric Proïa, 2025. "Testing for the extent of instability in nearly unstable processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 46(1), pages 33-58, January.
    • Handle: RePEc:bla:jtsera:v:46:y:2025:i:1:p:33-58
    DOI: 10.1111/jtsa.12751
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