On the asymptotic distribution of a unit root test against ESTAR alternatives

DOI10.1016/J.SPL.2011.11.001zbMATH Open1237.62119OpenAlexW2007566112MaRDI QIDQ419241FDOQ419241

Authors: Christoph Hanck 

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.001

Recommendations

• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• Testing for a unit root in a stationary ESTAR process
• A new unit root test against ESTAR based on a class of modified statistics
• A unit root test against globally stationary ESTAR models when local condition is non-stationary
• Testing for a unit root in the nonlinear STAR framework

zbMATH Keywords

Itô's lemma

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• A PANIC attack on unit roots and cointegration.
• Efficient Tests for an Autoregressive Unit Root
• Testing for a unit root in the nonlinear STAR framework

Cited In (12)

• Non-linear unit root testing with arctangent trend: simulation and applications in finance
• The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(\(p\)) errors
• Unit root tests for ESTAR models
• Distribution theory for unit root tests with conditional heteroskedasticity
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• A unit root test against globally stationary ESTAR models when local condition is non-stationary
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Testing for a unit root against ESTAR stationarity
• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
• Title not available (Why is that?)

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