Testing for a unit root against ESTAR stationarity

DOI10.1515/snde-2016-0076OpenAlexW2653667266MaRDI QIDQ2691731

David I. Harvey, Emily J. Whitehouse, Stephen J. Leybourne

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0076

zbMATH Keywords

nonlinearitytrend uncertaintyunion of rejections

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

Cites Work

• On the asymptotic distribution of a unit root test against ESTAR alternatives
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• Testing for a unit root in the nonlinear STAR framework
• The power of unit root tests against nonlinear local alternatives
• THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• THE REAL INTEREST RATE DIFFERENTIAL: INTERNATIONAL EVIDENCE BASED ON NON-LINEAR UNIT ROOT TESTS
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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