The power of unit root tests against nonlinear local alternatives

DOI10.1111/J.1467-9892.2012.00812.XzbMath1274.62584OpenAlexW2146089933MaRDI QIDQ2852480

Matei Demetrescu, Robinson Kruse

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/42090831/rp12_01.pdf

zbMATH Keywords

nonlinear modelsstochastic trendlocal powernear integrationpersistent nonlinearity

Mathematics Subject Classification ID

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

Related Items (3)

On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Testing for a unit root against ESTAR stationarity ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data

Uses Software

• ESTAR

Cites Work

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