On the asymptotic distribution of a unit root test against ESTAR alternatives

DOI10.1016/J.SPL.2011.11.001zbMath1237.62119OpenAlexW2007566112MaRDI QIDQ419241

Christoph Hanck

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.001

zbMATH Keywords

Itô's lemma

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (3)

A unit root test against globally stationary ESTAR models when local condition is non-stationary ⋮ Testing for a unit root against ESTAR stationarity ⋮ Non-linear unit root testing with arctangent trend: Simulation and applications in finance

Cites Work

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• Testing for a unit root in the nonlinear STAR framework
• Efficient Tests for an Autoregressive Unit Root

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