Modified unit root tests and momentum threshold autoregressive processes.

DOI10.1016/S0167-7152(03)00133-0MaRDI QIDQ1423155zbMATH OpenOpenAlexFDO

Authors Steven Cook

Publication date 14 February 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(03)00133-0

zbMATH Keywords

Unit root testsWeighted symmetric estimationForward and reverse regressionsLocal-to-unity detrendingMomentum threshold autoregressionRecursive mean adjustment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• A momentum-threshold autoregressive unit root test with increased power
• A sign test for unit roots in a momentum threshold autoregressive process
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• Size distortion of asymmetric unit root tests in the presence of level shifts
• Unit root testing in presence of a double threshold process

Cites work

• scientific article; zbMATH DE number 3921782 (Why is no real title available?)
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Recursive mean adjustment for unit root tests
• The Bias of Autoregressive Coefficient Estimators
• Threshold models in non-linear time series analysis

Cited in

(3)

• A sign test for unit roots in a momentum threshold autoregressive process
• A momentum-threshold autoregressive unit root test with increased power
• Size distortion of asymmetric unit root tests in the presence of level shifts

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