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
DOI10.1080/07474938.2014.976526zbMATH Open1491.62128OpenAlexW2007184821MaRDI QIDQ5863644FDOQ5863644
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
Recommendations
- Long memory and regime switching
- True versus spurious long memory: some theoretical results and a Monte Carlo comparison
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Long memory versus structural breaks: an overview
- Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Title not available (Why is that?)
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- A nonlinear long memory model, with an application to US unemployment.
- Exact local Whittle estimation of fractional integration
- Wald tests of \(I(1)\) against \(I(d)\) alternatives: some new properties and an extension to processes with trending components
- Efficient Wald Tests for Fractional Unit Roots
- A Fractional Dickey-Fuller Test for Unit Roots
- Long memory and regime switching
- Generating schemes for long memory processes: regimes, aggregation and linearity
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Efficient Tests for an Autoregressive Unit Root
- A new unit root test against ESTAR based on a class of modified statistics
- Testing for a unit root in the nonlinear STAR framework
- Unit root tests in three‐regime SETAR models
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
- How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
- On square-integrability of an AR process with Markov switching
- Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
- Title not available (Why is that?)
- The power of unit root tests against nonlinear local alternatives
Cited In (3)
This page was built for publication: 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
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5863644)
