A new unit root test against ESTAR based on a class of modified statistics

DOI10.1007/s00362-009-0204-1zbMath1247.62226MaRDI QIDQ451481

Robinson Kruse

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-398.pdf

zbMATH Keywords

nonlinearities; smooth transition; nonstandard testing; real effective exchange rates

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

62F05: Asymptotic properties of parametric tests

Related Items

Linearity tests under the null hypothesis of a random walk with drift, M-estimator based unit root tests in the ESTAR framework, Multiple unit root tests under uncertainty over the initial condition: some powerful modifications, Linearity tests and stochastic trend under the STAR framework, Weak identification in the ESTAR model and a new model

Uses Software

• ESTAR

Cites Work

• Testing joint hypotheses when one of the alternatives is one-sided
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• Testing for a unit root in the nonlinear STAR framework
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Testing for a unit root in time series regression
• Testing linearity against smooth transition autoregressive models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models