A new nonlinear unit root test with Fourier function

DOI10.1080/03610918.2018.1473591OpenAlexW2766815794WikidataQ129322948 ScholiaQ129322948MaRDI QIDQ5087978FDOQ5087978

Authors: 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

unit root testnonlinearityflexible Fourier form

Mathematics Subject Classification ID

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

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• 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
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• Asymmetric adjustment and smooth transitions: a combination of some unit root tests

Cited In (2)

• Alternative unit root testing strategies using the Fourier approximation
• Title not available (Why is that?)

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