A unit root test against globally stationary ESTAR models when local condition is non-stationary
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Publication:1668515
DOI10.1016/J.ECONLET.2016.07.002zbMath1396.62274OpenAlexW2479741083MaRDI QIDQ1668515
Publication date: 29 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2016.07.002
Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)
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Cites Work
- On the asymptotic distribution of a unit root test against ESTAR alternatives
- Testing joint hypotheses when one of the alternatives is one-sided
- Testing for a unit root in the nonlinear STAR framework
- Forecasting performance of exponential smooth transition autoregressive exchange rate models
- Linearity tests and stationarity
- Dynamic panel estimation and homogeneity testing under cross section dependence
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- Modelling Nonlinear Economic Time Series
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