Modified unit root tests and momentum threshold autoregressive processes.

DOI10.1016/S0167-7152(03)00133-0zbMath1113.62348OpenAlexW2008015773MaRDI QIDQ1423155

Steven Cook

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00133-0

zbMATH Keywords

Recursive mean adjustmentUnit root testsWeighted symmetric estimationForward and reverse regressionsLocal-to-unity detrendingMomentum threshold autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

A momentum-threshold autoregressive unit root test with increased power

Cites Work

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• Threshold models in non-linear time series analysis
• recursive Mean Adjustment for Unit Root Tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Bias of Autoregressive Coefficient Estimators
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root

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