Testing for a unit root in a stationary ESTAR process
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) 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
- 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?)
- 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
- 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
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- Unit root tests in three‐regime SETAR models
Cited in
(28)- Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
- 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
- Unit root testing with slowly varying trends
- A unit root test based on smooth transitions and nonlinear adjustment
- Testing for strict stationarity in a random coefficient autoregressive model
- Unit root tests in three‐regime SETAR models
- Unit root tests for ESTAR models
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
- A simple testing procedure for unit root and model specification
- Wild bootstrap tests for unit root in ESTAR models
- M-estimator based unit root tests in the ESTAR framework
- 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
- 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
- Least absolute deviation based unit root tests in smooth transition type of models
- How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
- The unit root test of ESTAR-GARCH model
- Are Asian real exchange rates stationary?
- Testing for a unit root against ESTAR stationarity
- Testing for a unit root against transitional autoregressive models
- The power of unit root tests against nonlinear local alternatives
- Weak identification in the ESTAR model and a new model
- Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test
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