The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test

DOI10.1016/J.JECONOM.2005.01.028zbMATH Open1337.62253OpenAlexW3125417980MaRDI QIDQ291635FDOQ291635

Authors: Valentina Corradi, Norman R. Swanson 

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2003-22.pdf

Recommendations

• Testing for Unit Roots and Non-linear Transformations
• Testing for Common Trends
• Tests of Linear and Logarithmic Transformations for Integrated Processes
• On the sensitivity of unit root inference to nonlinear data transformations
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

zbMATH Keywords

nonstationaritynonlinear transformationcommon cyclescommon trendsrandomized procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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• On non-contemporaneous short-run co-movements
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Cited In (15)

• Testing for Unit Roots and Non-linear Transformations
• Testing the nominal-to-real transformation
• Nonparametric nonstationarity tests
• Forecast dominance testing via sign randomization
• Title not available (Why is that?)
• A randomized sequential procedure to determine the number of factors
• Testing for strict stationarity in a random coefficient autoregressive model
• Testing for Common Trends in Nonstationary Large Datasets
• Testing for randomness in a random coefficient autoregression model
• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Sequential testing for structural stability in approximate factor models
• Identifying latent factors based on high-frequency data
• One-way or two-way factor model for matrix sequences?
• Testing for (in)finite moments
• A diagnostic criterion for approximate factor structure

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