GLS detrending in nonlinear unit root test

DOI10.1080/03610918.2019.1662442MaRDI QIDQ5082878zbMATH OpenOpenAlexWikidataFDO

Authors Selahattin Güriş, Burak Güriş

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1662442

zbMATH Keywords

GLS detrendingnonlinearityunit root test

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• GLS detrending and unit root testing
• GLS detrending, efficient unit root tests and structural change.
• GLS-based unit root tests for bounded processes
• A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks

Cites work

• A new unit root test against ESTAR based on a class of modified statistics
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Testing for a unit root in the nonlinear STAR framework
• Unit root tests in three‐regime SETAR models
• Unit roots and smooth transitions

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