Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers

DOI10.1111/J.1467-9892.2006.00474.XMaRDI QIDQ3440749zbMATH OpenOpenAlexFDO

Authors Felipe M. Aparicio, Alvaro Escribano, Ana E. Sipols

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/2582

zbMATH Keywords

asymptotic distributionextremesforward-backward unit root testpowerrecords

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(13)

• Localized level crossing random walk test robust to the presence of structural breaks
• P-star model for India: a nonlinear approach
• Exchange rates in India: current account monetarism in a nonlinear context
• Null recurrent unit root processes
• Records Properties of Non Stationary Time Series
• Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests
• MODELING MACROECONOMIC SUBAGGREGATES: AN APPLICATION OF NONLINEAR COINTEGRATION
• Robust Dickey-Fuller tests based on ranks for time series with additive outliers
• Behavior of the Size in the Unit Root Testing Under Contamination
• A Detrended Range Unit Root (DRUR) Test
• A new approach to unit root testing
• Functional Time Series Analysis and Visualization Based on Records
• Nonparametric regression estimation in a null recurrent time series

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