A unit root test against globally stationary ESTAR models when local condition is non-stationary

DOI10.1016/J.ECONLET.2016.07.002zbMath1396.62274OpenAlexW2479741083MaRDI QIDQ1668515

Junjuan Hu, Zhen Long Chen

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

zbMATH Keywords

Monte Carlo simulationunit rootWald-type testESTAR models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

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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