Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

DOI10.1111/1467-9892.00306MaRDI QIDQ4828154zbMATH OpenOpenAlexFDO

Authors Andrew P. Blake, George Kapetanios

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00306

zbMATH Keywords

unit rootsnonlinearityartificial neural network

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites work

• scientific article; zbMATH DE number 1189202 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A floor and ceiling model of US output
• A radial basis function artificial neural network test for ARCH
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests

Cited in

(9)

• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
• A neural network method for nonlinear time series analysis
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
• Bootstrap neural network cointegration tests against nonlinear alternative hypotheses
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
• The power of unit root tests against nonlinear local alternatives

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