On the sensitivity of unit root inference to nonlinear data transformations

DOI10.1016/S0165-1765(98)00014-7zbMath0906.90034MaRDI QIDQ1128780

Philip Hans Franses, Gary Koop

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Bayesian inference; unit roots; logarithmic transformation

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

Related Items

Time-Series Forecast Jointly Allowing the Unit-Root Detection and the Box–Cox Transformation, Testing for unit roots in the context of misspecified logarithmic random walks., The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test, On the sensitivity of unit root inference to nonlinear data transformations, An explicit variance formula for the Box--Cox functional form estimator., On data transformations and evidence of nonlinearity.

Cites Work

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• Nonlinear stochastic trends
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• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES