On the sensitivity of unit root inference to nonlinear data transformations

DOI10.1016/S0165-1765(98)00014-7MaRDI QIDQ1128780zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Bayesian inferenceunit rootslogarithmic transformation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• Nonlinear stochastic trends
• On the sensitivity of unit root inference to nonlinear data transformations
• Testing for Unit Roots and Non-linear Transformations
• Transformations to Symmetry and Homoscedasticity

Cited in

(9)

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

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