Testing for a unit root in a stationary ESTAR process

DOI10.1080/07474938.2011.553511zbMath1210.62122OpenAlexW2150258130MaRDI QIDQ3168911

Rehim Kiliç

Publication date: 27 April 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2011.553511

zbMATH Keywords

nonlinearityunit rootESTAR model

Mathematics Subject Classification ID

Related Items (7)

Wild bootstrap tests for unit root in ESTAR models ⋮ M-estimator based unit root tests in the ESTAR framework ⋮ Tests for Linearity in Star Models: Supwald and Lm-Type Tests ⋮ Unit root testing with slowly varying trends ⋮ Testing for co-integration and nonlinear adjustment in a smooth transition error correction model ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Testing for strict stationarity in a random coefficient autoregressive model

Uses Software

• ESTAR

Cites Work

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• Threshold Cointegration
• Stochastic Limit Theory
• Threshold Autoregression with a Unit Root
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Unit root tests in three‐regime SETAR models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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