Weak identification in the ESTAR model and a new model

DOI10.1111/JTSA.12008MaRDI QIDQ2852497zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Specification, estimation, and evaluation of smooth transition autoregressive models
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• Testing for a unit root in a stationary ESTAR process
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Estimation and inference with weak, semi-strong, and strong identification

Cites work

• scientific article; zbMATH DE number 1228064 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A new unit root test against ESTAR based on a class of modified statistics
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Estimation in nonlinear time series models
• Functional-Coefficient Autoregressive Models
• Non-linear time series and Markov chains
• Nonlinear autoregressive processes
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic 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 unit roots in autoregressive-moving average models of unknown order
• Testing linearity against smooth transition autoregressive models
• The zero-information-limit condition and spurious inference in weakly identified models

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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