Stationarity testing under nonlinear models. Some asymptotic results (Q3103194)

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English	Stationarity testing under nonlinear models. Some asymptotic results	scientific article

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Stationarity testing under nonlinear models. Some asymptotic results (English)

María José Presno

Journal of Time Series Analysis

publication date

26 November 2011

zbMATH Keywords

stationarity testing

limiting distribution

nonlinear time series

nonlinear regression

bootstrap

Fredholm theory

describes a project that uses

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2010.00672.x

The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series

Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate

Testing for the Presence of a Random Walk in Series with Structural Breaks

Weak convergence of the sample distribution function when parameters are estimated

Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators

Generalizations of the KPSS‐test for stationarity

A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

Testing for stationarity with a break

Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

On the distribution of some test statistics for coefficient constancy

Unit roots and smooth transitions

Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times

Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE

Selection of the break in the Perron-type tests

Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative

Testing for Deterministic Linear Trend in Time Series

Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Further evidence on breaking trend functions in macroeconomic variables

HAC ESTIMATION BY AUTOMATED REGRESSION

Computation of limiting distributions in stationarity testing with a generic trend

Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients

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mardi Publication:3103194

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