On unit root testing with smooth transitions
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Publication:1010417
DOI10.1016/j.csda.2006.07.015zbMath1157.62500MaRDI QIDQ1010417
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
- On the finite-sample size distortion of smooth transition unit root tests
- Testing for unit roots in time series with level shifts
- Unit roots and smooth transitions
- Estimating and Testing Linear Models with Multiple Structural Changes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- Unit Roots and Asymmetric Smooth Transitions