On the sensitivity of unit root inference to nonlinear data transformations

DOI10.1016/S0165-1765(98)00014-7zbMath0906.90034OpenAlexW1992270360WikidataQ127658596 ScholiaQ127658596MaRDI QIDQ1128780

Philip Hans Franses, Gary Koop

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00014-7

zbMATH Keywords

Bayesian inferenceunit rootslogarithmic transformation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (6)

On data transformations and evidence of nonlinearity. ⋮ The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ On the sensitivity of unit root inference to nonlinear data transformations ⋮ Testing for unit roots in the context of misspecified logarithmic random walks. ⋮ Time-Series Forecast Jointly Allowing the Unit-Root Detection and the Box–Cox Transformation ⋮ An explicit variance formula for the Box--Cox functional form estimator.

Cites Work

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• On the sensitivity of unit root inference to nonlinear data transformations
• Nonlinear stochastic trends
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for Unit Roots and Non-linear Transformations
• Transformations to Symmetry and Homoscedasticity
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

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