On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study

DOI10.1080/03610910500416132MaRDI QIDQ3378027zbMATH OpenOpenAlexFDO

Authors Chi-Young Choi, Young-Kyu Moh

Publication date 29 March 2006

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

Full work available at URL https://doi.org/10.1080/03610910500416132

zbMATH Keywords

Monte Carlo simulationnonlinear dynamic modelsunit-root tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

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Cites work

• A Parametric Approach to Flexible Nonlinear Inference
• An investigation of tests for linearity and the accuracy of likelihood based inference using random fields
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Long memory and regime switching
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Testing for a unit root in the nonlinear STAR framework
• Testing for neglected nonlinearity in regression models based on the theory of random fields
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for Unit Roots and the Initial Condition
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• Threshold Autoregression with a Unit Root

Cited in

(2)

• How do nonlinear unit root tests perform with non normal errors?
• Performance of unit-root tests for non linear unit-root and partial unit-root processes

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