演講者簡介 : 王健合教授為Ph.D. in Economics，Michigan State University (2003)。
現為台北大學經濟系助理教授。
其主要研究領域為Econometric Theory、Time Series Analysis。
演講摘要 : This paper proposes a two-regime threshold unit root (TUR) test that is robust against arbitrary autocorrelation. We consider a test statistic that is obtained by optimizing over the unknown threshold parameter, which is assumed to be unknown under the null hypothesis. Similarly to the Phillips-Perron test, a bandwidth-type sequence is used to remove the consequences of correlation in the limit distribution of the test statistic. The test is then applied to interest rate and unemployment rate data.
