Linearity tests under the null hypothesis of a random walk with drift

DOI10.1007/S00362-015-0659-1zbMATH Open1349.62437OpenAlexW2025308358MaRDI QIDQ284192FDOQ284192

Authors: Lingxiang Zhang, Rong-Guo Yan 

Publication date: 17 May 2016

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-015-0659-1

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zbMATH Keywords

STARlinearityrandom walk with drift

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Sums of independent random variables; random walks (60G50)

Cites Work

• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing linearity against smooth transition autoregressive models
• Linearity tests and stationarity
• A powerful test for linearity when the order of integration is unknown
• Testing for time series linearity
• A new unit root test against ESTAR based on a class of modified statistics
• Some limit theory for autocovariances whose order depends on sample size

Cited In (3)

• Four tests for the random walk hypothesis: power versus robustness
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter

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