On the sensitivity of unit root inference to nonlinear data transformations
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Publication:1128780
DOI10.1016/S0165-1765(98)00014-7zbMATH Open0906.90034OpenAlexW1992270360WikidataQ127658596 ScholiaQ127658596MaRDI QIDQ1128780FDOQ1128780
Authors: Philip Hans Franses, Gary Koop 
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00014-7
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Cites Work
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- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- On the sensitivity of unit root inference to nonlinear data transformations
- Testing for Unit Roots and Non-linear Transformations
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Nonlinear stochastic trends
- Transformations to Symmetry and Homoscedasticity
Cited In (9)
- Testing for Unit Roots and Non-linear Transformations
- An explicit variance formula for the Box--Cox functional form estimator.
- On data transformations and evidence of nonlinearity.
- Tests of Linear and Logarithmic Transformations for Integrated Processes
- Testing for unit roots in the context of misspecified logarithmic random walks.
- Time-Series Forecast Jointly Allowing the Unit-Root Detection and the Box–Cox Transformation
- On the sensitivity of unit root inference to nonlinear data transformations
- Backward mean transformation in unit root panel data models
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
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