A unit root test based on smooth transitions and nonlinear adjustment

DOI10.1080/03610918.2018.1563154MaRDI QIDQ5084008zbMATH OpenOpenAlexWikidataFDO

Authors Aycan Hepsag

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/81788/1/MPRA_paper_81788.pdf

zbMATH Keywords

nonlinearityunit rootPPP hypothesisESTARsmooth transitions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• On unit root testing with smooth transitions
• A new unit root test against ESTAR based on a class of modified statistics
• On the finite-sample size distortion of smooth transition unit root tests
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• Testing for a unit root in a stationary ESTAR process

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• A new unit root test against ESTAR based on a class of modified statistics
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in the nonlinear STAR framework
• Testing joint hypotheses when one of the alternatives is one-sided
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit roots and smooth transitions

Cited in

(7)

• Unit roots and double smooth transitions
• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• A new unit root test against ESTAR based on a class of modified statistics
• On unit root testing with smooth transitions
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• On the finite-sample size distortion of smooth transition unit root tests
• Unit root testing in multiple smooth break models with nonlinear dynamics

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