Testing for a unit root in the nonlinear STAR framework

DOI10.1016/S0304-4076(02)00202-6MaRDI QIDQ1868973zbMATH OpenFDO

Authors George Kapetanios, Yongcheol Shin, Andy Snell

Publication date 9 April 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4076(02)00202-6

zbMATH Keywords

Exponential smooth transition autoregressive modelGlobally stationary nonlinear processesMonte Carlo simulationsReal interest and exchange ratesUnit roots

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(81)

• Testing for unit root in nonlinear heterogeneous panels
• The univariate MT-STAR model and a new linearity and unit root test procedure
• The Fisher effect in the presence of time-varying coefficients
• A simple proposal to improve the power of income convergence tests
• A unit root test against globally stationary ESTAR models when local condition is non-stationary
• Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields
• Nonlinear mean reversion in real exchange rates.
• The flexible Fourier form and Dickey-Fuller type unit root tests
• Are Asian real exchange rates stationary?
• The informational value of unemployment statistics: a note on the time series properties of participation rates
• Time series test of nonlinear convergence and transitional dynamics
• Linearity tests and stochastic trend under the STAR framework
• A test for strict stationarity in a random coefficient autoregressive model of order 1
• Computation of limiting distributions in stationarity testing with a generic trend
• An alternative procedure to test for cointegration in STAR models
• Unit root tests for ESTAR models
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
• Outliers and persistence in threshold autoregressive processes
• Testing for a unit root against ESTAR stationarity
• Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests
• Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
• Testing for a unit root against transitional autoregressive models
• Performance of unit-root tests for non linear unit-root and partial unit-root processes
• 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
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Nonlinear models for strongly dependent processes with financial applications
• Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
• Output fluctuations persistence: do cyclical shocks matter?
• How do nonlinear unit root tests perform with non normal errors?
• ADL tests for threshold cointegration
• Linearity tests and stationarity
• Testing for a unit root in a stationary ESTAR process
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Pairwise Tests of Purchasing Power Parity
• Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
• Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
• On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study
• ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA
• THE REAL INTEREST RATE DIFFERENTIAL: INTERNATIONAL EVIDENCE BASED ON NON-LINEAR UNIT ROOT TESTS
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Testing for time series linearity
• Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
• Nonparametric specification testing for nonlinear time series with nonstationarity
• 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
• On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
• A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
• Testing catching-up between the developing countries: ``Growth resistance and sometimes ``growth tragedy
• Time-varying multi-regime models fitting by genetic algorithms
• Unit root testing with slowly varying trends
• Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
• GLS detrending in nonlinear unit root test
• A unit root test based on smooth transitions and nonlinear adjustment
• A new nonlinear unit root test with Fourier function
• Non-linear unit root testing with arctangent trend: simulation and applications in finance
• A local unit root test in mean for financial time series
• Least absolute deviation based unit root tests in smooth transition type of models
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
• 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
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Testing for a unit root in a nonlinear quantile autoregression framework
• A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
• Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity
• Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets
• Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures^†
• Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
• Unemployment dynamics in the United Kingdom: a quarter-millennium perspective
• Power of unit root tests against nonlinear and noncausal alternatives with an application to the brent crude oil price
• A proposal of nonlinear cointegration test with the flexible Fourier approach
• 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

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