Non-linear unit root testing with arctangent trend: simulation and applications in finance

DOI10.1080/25742558.2018.1458555MaRDI QIDQ5193244zbMATH OpenOpenAlexWikidataFDO

Authors Deniz Ilalan, Özgür Özel

Publication date 10 September 2019

Published in Cogent Mathematics & Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/25742558.2018.1458555

zbMATH Keywords

asymptotic distributionsmooth transitionunit root test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

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Cites work

• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Generalized exponential autoregressive models for nonlinear time series: stationarity, estimation and applications
• Grain prices, oil prices, and multiple smooth breaks in a VAR
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On the asymptotic distribution of a unit root test against ESTAR alternatives
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing for a unit root in the nonlinear STAR framework
• Testing linearity against smooth transition autoregressive models

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