The univariate MT-STAR model and a new linearity and unit root test procedure

DOI10.1016/J.CSDA.2013.12.009MaRDI QIDQ1623501zbMATH OpenOpenAlexFDO

Authors Peter Martey Addo, Monica Billio, Dominique Guegan

Publication date 23 November 2018

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

Full work available at URL https://doi.org/10.1016/j.csda.2013.12.009

zbMATH Keywords

exponential smooth transition autoregressive modelMonte Carlo simulationsnonlinearityreal exchange ratesunit roots

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

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• A new unit root test against ESTAR based on a class of modified statistics
• An alternative procedure to test for cointegration in STAR models

Cites work

• Applied Time Series Econometrics
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation in nonlinear time series models
• Functional-Coefficient Autoregressive Models
• scientific article; zbMATH DE number 775843 (Why is no real title available?)
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Nonlinear time series. Nonparametric and parametric methods
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• On unit root testing with smooth transitions
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• Testing for a unit root in the nonlinear STAR framework
• Testing for a unit root in time series regression
• Testing for Common Trends
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing linearity against smooth transition autoregressive models
• Threshold Cointegration
• Trends versus Random Walks in Time Series Analysis

Cited in

(4)

• Nonlinear mean reversion in real exchange rates.
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
• Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity
• The power of tests for nonlinearity: The Escribano-Pfann model

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Uses Software

• JMulTi

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