Unit root tests in three‐regime SETAR models
From MaRDI portal
Publication:5488515
Recommendations
- Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
- Testing for a unit root in a stationary ESTAR process
- Testing for a unit root in the nonlinear STAR framework
- Unit root testing in presence of a double threshold process
- Adaptive consistent unit-root tests based on autoregressive threshold model
Cites work
- scientific article; zbMATH DE number 3126031 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- A floor and ceiling model of US output
- A multiple-threshold AR(1) model
- Adaptive consistent unit-root tests based on autoregressive threshold model
- Impulse response analysis in nonlinear multivariate models
- Stability results for nonlinear error correction models
- Stochastic Limit Theory
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- Testing and Modeling Multivariate Threshold Models
- Testing for a unit root in the nonlinear STAR framework
- Threshold Autoregression with a Unit Root
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
(26)- Testing for a unit root in a stationary ESTAR process
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
- Adaptive consistent unit-root tests based on autoregressive threshold model
- Local unit roots and global stationarity of TARMA models
- Vector equilibrium correction models with non‐linear discontinuous adjustments
- Testing for threshold regulation in presence of measurement error
- A local unit root test in mean for financial time series
- Testing for a unit root in a nonlinear quantile autoregression framework
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
- Unit root testing on buffered autoregressive model
- UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
- Testing for a unit root in the nonlinear STAR framework
- How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- Unit root testing in presence of a double threshold process
- Performance of unit-root tests for non linear unit-root and partial unit-root processes
- Detection of stationarity in nonlinear processes: a comparison between structural breaks and three-regime TAR models
- Generating prediction bands for path forecasts from SETAR models
- Testing for a unit root against transitional autoregressive models
- The power of unit root tests against nonlinear local alternatives
- Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
- GLS detrending in nonlinear unit root test
This page was built for publication: Unit root tests in three‐regime SETAR models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488515)
