Testing for Unit Roots and Non-linear Transformations
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Publication:3838312
DOI10.1111/1467-9892.00083zbMath0944.62078OpenAlexW2065744481MaRDI QIDQ3838312
Philip Hans Franses, Michael McAleer
Publication date: 27 October 1998
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00083
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (9)
On data transformations and evidence of nonlinearity. ⋮ The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ Inference on transformed stationary time series ⋮ On the sensitivity of unit root inference to nonlinear data transformations ⋮ Multivariate linear and nonlinear causality tests ⋮ Specification search in nonlinear time-series models using the genetic algorithm. ⋮ Testing for unit roots in the context of misspecified logarithmic random walks. ⋮ Time-Series Forecast Jointly Allowing the Unit-Root Detection and the Box–Cox Transformation ⋮ An explicit variance formula for the Box--Cox functional form estimator.
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