On the finite-sample size distortion of smooth transition unit root tests

DOI10.1016/j.spl.2004.10.001zbMath1056.62094OpenAlexW2139790801MaRDI QIDQ1767755

Steven Cook, Dimitrios V. Vougas

Publication date: 8 March 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.001

zbMATH Keywords

Unit rootsStructural changeSmooth transitions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Design of statistical experiments (62K99)

Related Items

On unit root testing with smooth transitions

Cites Work

• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Unit roots and smooth transitions
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis