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

DOI10.1080/03610910500416132zbMATH Open1086.62095OpenAlexW1990995716MaRDI QIDQ3378027FDOQ3378027

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

Recommendations

• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Performance of unit-root tests for non linear unit-root and partial unit-root processes
• The power of unit root tests against nonlinear local alternatives
• How do nonlinear unit root tests perform with non normal errors?
• A powerful test for linearity when the order of integration is unknown

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)

Cites Work

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

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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