A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
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Publication:3411052
DOI10.1111/j.1467-9892.2006.00478.xzbMath1126.62076OpenAlexW2159548882MaRDI QIDQ3411052
Ralf Becker, Walter Enders, Junsoo Lee
Publication date: 8 December 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00478.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- 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?
- On the asymptotic normality of Fourier flexible form estimates
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- On stationary tests in the presence of structural breaks
- Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
- Testing for stationarity with a break
- Testing for a unit root in the nonlinear STAR framework
- Testing for a unit root in variables with a double change in the mean
- Testing for the Presence of a Random Walk in Series with Structural Breaks
- A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
- Unit roots and smooth transitions
- Topics in Advanced Econometrics
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