Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

DOI10.1111/1467-9892.00306zbMATH Open1053.62095OpenAlexW2081211075MaRDI QIDQ4828154FDOQ4828154

Authors: Andrew P. Blake, George Kapetanios 

Publication date: 24 November 2004

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00306

Recommendations

• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• The power of unit root tests against nonlinear local alternatives
• A powerful test for linearity when the order of integration is unknown
• Bootstrap neural network cointegration tests against nonlinear alternative hypotheses
• Testing for time series linearity

zbMATH Keywords

unit rootsnonlinearityartificial neural network

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Neural nets and related approaches to inference from stochastic processes (62M45)

Cites Work

• Title not available (Why is that?)
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• A radial basis function artificial neural network test for ARCH
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• A floor and ceiling model of US output
• Title not available (Why is that?)

Cited In (9)

• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
• A neural network method for nonlinear time series analysis
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
• Bootstrap neural network cointegration tests against nonlinear alternative hypotheses
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
• The power of unit root tests against nonlinear local alternatives

This page was built for publication: Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4828154)