An alternative procedure to test for cointegration in STAR models

DOI10.1016/J.MATCOM.2009.12.003MaRDI QIDQ2270462zbMATH OpenOpenAlexFDO

Authors Daiki Maki

Publication date 18 March 2010

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2009.12.003

zbMATH Keywords

cointegrationD-LSTARESTAR

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Testing linearity in cointegrating smooth transition regressions
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• Testing linearity against smooth transition autoregressive models

Cites work

• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Testing for a unit root in the nonlinear STAR framework
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Threshold Cointegration
• Threshold cointegration and nonlinear adjustment to the law of one price

Cited in

(5)

• The univariate MT-STAR model and a new linearity and unit root test procedure
• Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests
• Testing linearity against smooth transition autoregressive models
• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• A proposal of nonlinear cointegration test with the flexible Fourier approach

Describes a project that uses

Uses Software

• ESTAR

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