Testing for nonlinear deterministic components when the order of integration is unknown
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Publication:3103193
DOI10.1111/j.1467-9892.2010.00671.xzbMath1226.62079OpenAlexW1754813705MaRDI QIDQ3103193
Lisa Xiao, David I. Harvey, Stephen J. Leybourne
Publication date: 26 November 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00671.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- Nonparametric tests for unit roots and cointegration.
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
- Trend Function Hypothesis Testing in the Presence of Serial Correlation
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- On Robust Trend Function Hypothesis Testing
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