Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests

DOI10.1016/J.ECONLET.2011.03.008MaRDI QIDQ553865zbMATH OpenOpenAlexFDO

Authors Robert Sollis

Publication date 28 July 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2011.03.008

zbMATH Keywords

powerunit roots

Mathematics Subject Classification ID

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

Recommendations

• Testing for a unit root in the nonlinear STAR framework
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• 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
• A unit root test against globally stationary ESTAR models when local condition is non-stationary

Cites work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in the nonlinear STAR framework
• Testing linearity against smooth transition autoregressive models
• Unit root tests in three‐regime SETAR models

Cited in

(5)

• The univariate MT-STAR model and a new linearity and unit root test procedure
• Testing for a unit root in the nonlinear STAR framework
• Detection of stationarity in nonlinear processes: a comparison between structural breaks and three-regime TAR models
• Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications

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