Unit root tests in three‐regime SETAR models
DOI10.1111/J.1368-423X.2006.00184.XzbMATH Open1096.62083OpenAlexW3124722702MaRDI QIDQ5488515FDOQ5488515
Authors: Yongcheol Shin, George Kapetanios 
Publication date: 22 September 2006
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00184.x
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tablesunit rootsSETAR modelsMonte Carlo simulationsthreshold cointegrationreal exchange ratesdread of depreciationgeometric ergodic processes
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Stability results for nonlinear error correction models
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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- A multiple-threshold AR(1) model
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- Threshold Autoregression with a Unit Root
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- A floor and ceiling model of US output
- Testing for a unit root in the nonlinear STAR framework
- Adaptive consistent unit-root tests based on autoregressive threshold model
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
- Testing for threshold regulation in presence of measurement error
- Vector equilibrium correction models with non‐linear discontinuous adjustments
- 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
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
- GLS detrending in nonlinear unit root test
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
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