How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
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Publication:3594914
Recommendations
- 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 for a unit root in a stationary ESTAR process
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Testing for a unit root against ESTAR stationarity
- Performance of unit-root tests for non linear unit-root and partial unit-root processes
- Testing stationarity and trend stationarity against the unit root hypothesis
- How do nonlinear unit root tests perform with non normal errors?
- Testing for a unit root in noncausal autoregressive models
- Testing for unit roots with stationary covariates
Cites work
- A multiple-threshold AR(1) model
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Adaptive consistent unit-root tests based on autoregressive threshold model
- An invariant sign test for random walks based on recursive median adjustment
- Estimating and Testing Linear Models with Multiple Structural Changes
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- scientific article; zbMATH DE number 3591256 (Why is no real title available?)
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Long memory story of the real interest rate
- Misspecified structural change, threshold, and Markov-switching models.
- On strict stationarity and ergodicity of a non-linear ARMA model
- On the end-point issue in unit root tests in the presence of a structural break.
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Testing for a unit root against transitional autoregressive models
- Testing for a unit root in the nonlinear STAR framework
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Threshold Autoregression with a Unit Root
- Threshold Cointegration
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Unit root tests in three‐regime SETAR models
- Unit root tests with a break in innovation variance.
Cited in
(12)- Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields
- Linearity tests and stochastic trend under the STAR framework
- Testing for a unit root against transitional autoregressive models
- Performance of unit-root tests for non linear unit-root and partial unit-root processes
- The power of unit root tests against nonlinear local alternatives
- How do nonlinear unit root tests perform with non normal errors?
- Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
- On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study
- A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
- Random walk or chaos: a formal test on the Lyapunov exponent
- Testing for a unit root in a nonlinear quantile autoregression framework
- A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
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