On the sensitivity of unit root inference to nonlinear data transformations
From MaRDI portal
Publication:1128780
DOI10.1016/S0165-1765(98)00014-7zbMath0906.90034WikidataQ127658596 ScholiaQ127658596MaRDI QIDQ1128780
Philip Hans Franses, Gary Koop
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00014-7
91B82: Statistical methods; economic indices and measures
Related Items
Time-Series Forecast Jointly Allowing the Unit-Root Detection and the Box–Cox Transformation, Testing for unit roots in the context of misspecified logarithmic random walks., The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test, On the sensitivity of unit root inference to nonlinear data transformations, An explicit variance formula for the Box--Cox functional form estimator., On data transformations and evidence of nonlinearity.
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the sensitivity of unit root inference to nonlinear data transformations
- Nonlinear stochastic trends
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Testing for Unit Roots and Non-linear Transformations
- Transformations to Symmetry and Homoscedasticity
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES