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

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

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

• 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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