Unit roots and smooth transitions

DOI10.1111/1467-9892.00078MaRDI QIDQ3838322zbMATH OpenOpenAlexFDO

Authors Stephen Leybourne, Paul Newbold, Dimitrios V. Vougas

Publication date 14 December 1998

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

Full work available at URL https://doi.org/10.1111/1467-9892.00078

zbMATH Keywords

Dickey-Fuller testintegrated processnonlinear trendstationaritystructural changetime series

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) 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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• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Using stochastic growth models to understand unit roots and breaking trends
• Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
• On the finite-sample size distortion of smooth transition unit root tests
• The flexible Fourier form and Dickey-Fuller type unit root tests
• Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
• Computation of limiting distributions in stationarity testing with a generic trend
• Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
• Testing for a unit root against transitional autoregressive models
• Testing for unit roots in autoregressions with multiple level shifts
• Stationarity testing under nonlinear models. Some asymptotic results
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• Comparison of unit root tests for time series with level shifts
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
• Unit root testing in multiple smooth break models with nonlinear dynamics
• On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
• Asymmetric adjustment and smooth transitions: a combination of some unit root tests
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Unit Roots and Asymmetric Smooth Transitions
• 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
• Unit roots and double smooth transitions
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Semiparametric transition models
• Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures^†
• Threshold unit root tests with smooth transitions
• Unit root testing

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