M-estimator based unit root tests in the ESTAR framework

DOI10.1007/S00362-014-0628-0zbMATH Open1416.62469OpenAlexW2089160159MaRDI QIDQ894867FDOQ894867

Rickard Sandberg

Publication date: 24 November 2015

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0628-0

zbMATH Keywords

unit rootM-estimatoradditive outlierESTARinnovation outlierLS-estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Title not available (Why is that?)
• Stochastic Limit Theory
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Least Median of Squares Regression
• Multiple Time Series Regression with Integrated Processes
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• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing linearity against smooth transition autoregressive models
• Unit root tests for time series with outliers
• A new unit root test against ESTAR based on a class of modified statistics
• Testing for a unit root in the nonlinear STAR framework
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• On the Dickey-Fuller test with white standard errors
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• A smoothing principle for the Huber and other location \(M\)-estimators
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• The finite-sample performance of robust unit root tests
• Testing for a unit root in a stationary ESTAR process
• Detection of Additive Outliers in Seasonal Time Series

Cited In (2)

• The univariate MT-STAR model and a new linearity and unit root test procedure
• Title not available (Why is that?)

Uses Software

• ESTAR

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