The univariate MT-STAR model and a new linearity and unit root test procedure

DOI10.1016/j.csda.2013.12.009zbMath1506.62006OpenAlexW2076546106MaRDI QIDQ1623501

Peter Martey Addo, Dominique Guégan, Monica Billio

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.12.009

zbMATH Keywords

nonlinearityMonte Carlo simulationsreal exchange ratesunit rootsexponential smooth transition autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• JMulTi

Cites Work

• Unnamed Item
• On unit root testing with smooth transitions
• Estimation in nonlinear time series models
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• Nonlinear time series. Nonparametric and parametric methods
• Testing for a unit root in the nonlinear STAR framework
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Testing for a unit root in time series regression
• Trends versus Random Walks in Time Series Analysis
• Testing linearity against smooth transition autoregressive models
• Testing for Common Trends
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Threshold Cointegration
• Applied Time Series Econometrics
• Functional-Coefficient Autoregressive Models
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models