Testing for a unit root against ESTAR stationarity

DOI10.1515/SNDE-2016-0076MaRDI QIDQ2691731zbMATH OpenOpenAlexFDO

Authors David I. Harvey, Emily J. Whitehouse, Stephen Leybourne

Publication date 30 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2016-0076

zbMATH Keywords

nonlinearitytrend uncertaintyunion of rejections

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Testing for a unit root in a stationary ESTAR process
• Testing stationarity and trend stationarity against the unit root hypothesis
• Testing for unit roots with stationary covariates
• Unit root tests for ESTAR models
• Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test
• Testing the null hypothesis of stationarity against an autoregressive unit root alternative
• A unified approach to testing for stationarity of unit roots

Cites work

• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• On the asymptotic distribution of a unit root test against ESTAR alternatives
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Testing for a unit root in the nonlinear STAR framework
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• The available information for invariant tests of a unit root
• The power of unit root tests against nonlinear local alternatives
• THE REAL INTEREST RATE DIFFERENTIAL: INTERNATIONAL EVIDENCE BASED ON NON-LINEAR UNIT ROOT TESTS
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(4)

• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
• Testing the null hypothesis of stationarity against an autoregressive unit root alternative
• Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?

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