M-estimator based unit root tests in the ESTAR framework

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

Authors 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)

Recommendations

• Least absolute deviation based unit root tests in smooth transition type of models
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• scientific article; zbMATH DE number 1211742
• Unit root tests for ESTAR models

Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A new unit root test against ESTAR based on a class of modified statistics
• A smoothing principle for the Huber and other location \(M\)-estimators
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Detection of Additive Outliers in Seasonal Time Series
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Least Median of Squares Regression
• Multiple Time Series Regression with Integrated Processes
• On the Dickey-Fuller test with white standard errors
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• Stochastic Limit Theory
• Testing for a unit root in a stationary ESTAR process
• Testing for a unit root in the nonlinear STAR framework
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing linearity against smooth transition autoregressive models
• The finite-sample performance of robust unit root tests
• Time Series Regression with a Unit Root
• Unit root tests for time series with outliers

Cited in

(5)

• The unit root test of ESTAR-GARCH model
• Least absolute deviation based unit root tests in smooth transition type of models
• Robust inference in autoregressions with multiple outliers
• The univariate MT-STAR model and a new linearity and unit root test procedure
• scientific article; zbMATH DE number 6424126 (Why is no real title available?)

Describes a project that uses

Uses Software

• ESTAR

This page was built for publication: M-estimator based unit root tests in the ESTAR framework

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894867)