A new nonlinear unit root test with Fourier function

DOI10.1080/03610918.2018.1473591OpenAlexW2766815794WikidataQ129322948 ScholiaQ129322948MaRDI QIDQ5087978

Burak Güriş

Publication date: 4 July 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/82260/1/MPRA_paper_82260.pdf

zbMATH Keywords

nonlinearityunit root testflexible Fourier form

Mathematics Subject Classification ID

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

Cites Work

• A new unit root test against ESTAR based on a class of modified statistics
• Testing for a unit root in the nonlinear STAR framework
• The flexible Fourier form and Dickey-Fuller type unit root tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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