Testing for a unit root against transitional autoregressive models

DOI10.1111/IERE.12171MaRDI QIDQ2812318zbMATH OpenOpenAlexFDO

Authors Joon Y. Park, Mototsugu Shintani

Publication date 16 June 2016

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1803/15770

zbMATH Keywords

exchange rateparametrized transition functiontransitional autoregressive modelsunit root

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

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• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• Nonlinear Regressions with Integrated Time Series
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Testing for a unit root in the nonlinear STAR framework
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• Unit root tests in three‐regime SETAR models
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Cited in

(16)

• On unit root testing with smooth transitions
• On unit root tests in the presence of transitional growth
• Linearity tests and stochastic trend under the STAR framework
• Tests for real and complex unit roots in vector autoregressive models
• Testing for a unit root in a stationary ESTAR process
• Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
• Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study
• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• scientific article; zbMATH DE number 6951434 (Why is no real title available?)
• Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
• Testing for a unit root in a nonlinear quantile autoregression framework
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Testing for threshold regulation in presence of measurement error
• A proposal of nonlinear cointegration test with the flexible Fourier approach

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