How Do Nonlinear Unit Root Tests Perform with Non Normal Errors?

DOI10.1080/03610918.2011.566972zbMath1227.62068OpenAlexW2057265533MaRDI QIDQ3102871

Ming Meng, Hyejin Lee, Junsoo Lee

Publication date: 25 November 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.566972

zbMATH Keywords

nonlinear processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (1)

RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis

Cites Work

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• Testing for a unit root in the nonlinear STAR framework
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Testing for a unit root in time series regression
• An invariant sign test for random walks based on recursive median adjustment

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