Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

DOI10.1007/s10182-006-0244-yzbMath1109.62080OpenAlexW2156401157MaRDI QIDQ878303

Christoph Rothe, Philipp Sibbertsen

Publication date: 26 April 2007

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-315.pdf

zbMATH Keywords

Monte Carlo simulationspurchasing power parityunit rootsexponential smooth transition autoregressive model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

M-estimator based unit root tests in the ESTAR framework ⋮ A new unit root test against ESTAR based on a class of modified statistics ⋮ Tests for Linearity in Star Models: Supwald and Lm-Type Tests ⋮ The power of unit root tests against nonlinear local alternatives

Uses Software

• ESTAR

Cites Work

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• A maximal inequality and dependent strong laws
• Real exchange rate behavior in the Middle East: A re-examination
• Testing for a unit root in the nonlinear STAR framework
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• Testing linearity against smooth transition autoregressive models
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Time Series Regression with a Unit Root
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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