Unit root testing in multiple smooth break models with nonlinear dynamics

DOI10.1111/JTSA.12424MaRDI QIDQ4556519zbMATH OpenOpenAlexFDO

Authors Rickard Sandberg

Publication date 16 November 2018

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12424

zbMATH Keywords

G7 industrial production seriesnonlinear dynamicsnonlinear trendsunit roots

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(3)

• On unit root testing with smooth transitions
• A new class of nonlinear integrated models
• On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability

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