On unit root testing with smooth transitions

DOI10.1016/J.CSDA.2006.07.015MaRDI QIDQ1010417zbMATH OpenOpenAlexFDO

Authors Dimitrios V. Vougas

Publication date 6 April 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2006.07.015

zbMATH Keywords

structural changeunit rootnonlinear trenddeterministic smooth transition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• A unit root test based on smooth transitions and nonlinear adjustment
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Cites work

• Estimating and Testing Linear Models with Multiple Structural Changes
• On the finite-sample size distortion of smooth transition unit root tests
• Specification, estimation, and evaluation of smooth transition autoregressive models
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Testing for unit roots in time series with level shifts
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Roots and Asymmetric Smooth Transitions
• Unit roots and smooth transitions

Cited in

(13)

• Unit roots and double smooth transitions
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• Non-linear unit root testing with arctangent trend: simulation and applications in finance
• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• The univariate MT-STAR model and a new linearity and unit root test procedure
• Unit root testing with slowly varying trends
• A unit root test based on smooth transitions and nonlinear adjustment
• On the finite-sample size distortion of smooth transition unit root tests
• On unit root tests in the presence of transitional growth
• Unit root testing in multiple smooth break models with nonlinear dynamics
• Threshold unit root tests with smooth transitions
• Testing for a unit root against transitional autoregressive models
• Unit roots and smooth transitions

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