Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes
Bibliographic Data
| ID | 21512914 |
|---|---|
| Authors | Francesco Angelini (0000-0002-7903-964X, Department of Statistical Sciences University of Bologna Italy), Massimiliano Castellani (0000-0002-5814-5902, Department of Statistical Sciences University of Bologna Italy), Simone Giannerini (0000-0002-0710-668X, Department of Economics and Statistics University of Udine Italy), Greta Goracci (0000-0001-5212-0539, Faculty of Economics and Management Free University of Bozen‐Bolzano Italy) |
| Year | 2025 |
| Volume | 87 |
| Issue | 3 |
| Pages | 659-689 |
| Publication date | 2025-06-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Oxford Bulletin of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0305-9049 • E-ISSN: 1468-0084 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/obes.12647 |
| OpenAlex | W4404543148 |
| Language | EN |
| References cited | 56 |
We address the issue of testing for threshold nonlinearity in the conditional mean in the presence of conditional heteroskedasticity. We propose a supremum Lagrange multiplier approach to test a linear ARMA‐GARCH model versus a TARMA‐GARCH model. We derive the asymptotic null distribution of the test statistic, and this requires novel results due to nuisance parameters, absent under the null hypothesis, combined with the nonlinear moving average and GARCH‐type innovations. We show that tests that do not account for heteroskedasticity fail to achieve the correct size even for large sample sizes. Moreover, the TARMA specification naturally accounts for the ubiquitous presence of measurement error that affects macroeconomic data. We apply the results to analyse the time series of Italian strikes, and we show that the TARMA‐GARCH specification is consistent with the relevant macroeconomic theory while capturing the main features of the Italian strikes dynamics, such as asymmetric cycles and regime‐switching
Econometrics · Economics · Heteroscedasticity · Observational error · Statistics · Advanced Statistical Methods and Models · Mathematics · Monetary Policy and Economic Impact · Probabilistic and Robust Engineering Design
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LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
Tests for Parameter Instability and Structural Change With Unknown Change Point
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Robust Estimation for Threshold Autoregressive Moving-Average Models
Dynamic Asymmetries in U.S. Unemployment
Industrial Conflict and Business Fluctuations
Emotions and Political Unrest
Unions Against Governments
Mobilization, Social Movements and Party Recruitment
The Macroeconomic Strike Model
One Hundred Years of Strike Statistics
Threshold Models of Collective Behavior
| Citation velocity | historical |
|---|---|
| Highly cited | No |