Testing for a unit root in a stationary ESTAR process
From MaRDI portal
Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Recommendations
- Testing for a unit root in the nonlinear STAR framework
- A new unit root test against ESTAR based on a class of modified statistics
- Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
- A unit root test against globally stationary ESTAR models when local condition is non-stationary
- Testing for a unit root against transitional autoregressive models
Cites work
- Adaptive consistent unit-root tests based on autoregressive threshold model
- Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Linearity tests and stationarity
- Mixing: Properties and examples
- Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
- Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
- Real shares and growth contributions in the previous year's price method with chaining
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Stochastic Limit Theory
- 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 the adequacy of smooth transition autoregressive models
- Threshold Autoregression with a Unit Root
- Threshold Cointegration
- Unit root tests in three‐regime SETAR models
Cited in
(29)- A simple testing procedure for unit root and model specification
- A unit root test against globally stationary ESTAR models when local condition is non-stationary
- Testing for a unit root in the nonlinear STAR framework
- Are Asian real exchange rates stationary?
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Unit root tests for ESTAR models
- Testing for a unit root against ESTAR stationarity
- Testing for a unit root against transitional autoregressive models
- Tests for linearity in star models: SupWald and LM-type tests
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- The power of unit root tests against nonlinear local alternatives
- Weak identification in the ESTAR model and a new model
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- 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?
- On the asymptotic distribution of a unit root test against ESTAR alternatives
- A new unit root test against ESTAR based on a class of modified statistics
- Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
- Unit Roots and Asymmetric Smooth Transitions
- The unit root test of ESTAR-GARCH model
- Unit root testing with slowly varying trends
- A unit root test based on smooth transitions and nonlinear adjustment
- Least absolute deviation based unit root tests in smooth transition type of models
- Unit root tests in three‐regime SETAR models
- Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
- Testing for strict stationarity in a random coefficient autoregressive model
- Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
- Wild bootstrap tests for unit root in ESTAR models
- M-estimator based unit root tests in the ESTAR framework
This page was built for publication: Testing for a unit root in a stationary ESTAR process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3168911)
