A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

DOI10.1111/J.1467-9892.2006.00478.XMaRDI QIDQ3411052zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

unit root testKPSS test

Mathematics Subject Classification ID

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

• A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
• On stationary tests in the presence of structural breaks
• On the asymptotic normality of Fourier flexible form estimates
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• 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 stationarity with a break
• Testing for the presence of a random walk in series with structural breaks
• 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?
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Topics in Advanced Econometrics
• Unit roots and smooth transitions

Cited in

(26)

• Johansen‐type cointegration tests with a Fourier function
• KPSS test for functional time series
• Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
• Detection and attribution of climate change through econometric methods
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Unit root testing with slowly varying trends
• Estimating structural credit risk models when market prices are contaminated with noise
• The flexible Fourier form and Dickey-Fuller type unit root tests
• Threshold model with a time-varying threshold based on Fourier approximation
• Recursive adjustment, unit root tests and structural breaks
• Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis
• Nonparametric panel stationarity testing with an application to crude oil production
• Nonparametric pseudo-Lagrange multiplier stationarity testing
• Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
• A new nonlinear unit root test with Fourier function
• High dimensional threshold model with a time-varying threshold based on Fourier approximation
• Testing for nonlinear deterministic components when the order of integration is unknown
• On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
• On the performance of the variance ratio unit root tests with flexible Fourier form
• Grain prices, oil prices, and multiple smooth breaks in a VAR
• Flexible Fourier form for volatility breaks
• Stationarity testing under nonlinear models. Some asymptotic results
• A parametric stationarity test with smooth breaks
• Generalizations of the KPSS‐test for stationarity
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
• Fractional frequency flexible Fourier form to approximate smooth breaks in unit root testing

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