The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications

DOI10.1007/s10614-007-9107-1zbMath1290.62083MaRDI QIDQ2476609

Daiki Maki

Publication date: 12 March 2008

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

Full work available at URL: https://doi.org/10.1007/s10614-007-9107-1

zbMATH Keywords

TAR; STAR; Size distortion; Yield spread; Low power; Variance ratio unit root tests

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

91B82: Statistical methods; economic indices and measures

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Cites Work

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