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

DOI10.1080/07474938.2014.976526MaRDI QIDQ5863644zbMATH OpenOpenAlexFDO

Authors Aaron D. Smallwood

Publication date 3 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.976526

zbMATH Keywords

structural breaksmisspecificationlong memorynonlinearityunit root tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 5002320 (Why is no real title available?)
• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• A Fractional Dickey-Fuller Test for Unit Roots
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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Efficient Tests for an Autoregressive Unit Root
• Efficient Wald Tests for Fractional Unit Roots
• Exact local Whittle estimation of fractional integration
• Generating schemes for long memory processes: regimes, aggregation and linearity
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Long memory and regime switching
• On square-integrability of an AR process with Markov switching
• Testing for a unit root in the nonlinear STAR framework
• Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The power of unit root tests against nonlinear local alternatives
• Unit root tests in three‐regime SETAR models
• Unit‐root testing against the alternative hypothesis of up to m structural breaks
• Wald tests of \(I(1)\) against \(I(d)\) alternatives: some new properties and an extension to processes with trending components

Cited in

(3)

• Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
• Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
• True versus spurious long memory: some theoretical results and a Monte Carlo comparison

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