A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
DOI10.1111/J.1467-9892.2006.00478.XzbMATH Open1126.62076OpenAlexW2159548882MaRDI QIDQ3411052FDOQ3411052
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
Recommendations
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)
Cites Work
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- Testing for a unit root in variables with a double change in the mean
- Topics in Advanced Econometrics
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- On stationary tests in the presence of structural breaks
- Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
- A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
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
- Nonparametric panel stationarity testing with an application to crude oil production
- Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis
- Nonparametric pseudo-Lagrange multiplier stationarity testing
- A new nonlinear unit root test with Fourier function
- Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
- 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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