Weak identification in the ESTAR model and a new model

DOI10.1111/JTSA.12008zbMATH Open1273.62204OpenAlexW2138226879MaRDI QIDQ2852497FDOQ2852497

Authors: Florian Heinen, Stefanie Michael, Philipp Sibbertsen 

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12008

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zbMATH Keywords

unit root testingreal exchange ratessmooth transitionlinearity testingnonlinearities

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Title not available (Why is that?)
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Functional-Coefficient Autoregressive Models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing linearity against smooth transition autoregressive models
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• The zero-information-limit condition and spurious inference in weakly identified models
• A new unit root test against ESTAR based on a class of modified statistics
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• Testing for a unit root in the nonlinear STAR framework
• Estimation in nonlinear time series models
• Non-linear time series and Markov chains
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Nonlinear autoregressive processes
• Title not available (Why is that?)

Cited In (4)

• Estimation and inference with weak, semi-strong, and strong identification
• GMM with Weak Identification
• On weak identification in structural VARMA models
• Forecasting performance of logistic STAR model: an alternative version to the original LSTAR models

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