A momentum-threshold autoregressive unit root test with increased power

DOI10.1016/j.spl.2004.02.002zbMath1041.62072OpenAlexW2011143524MaRDI QIDQ1827547

Steven Cook

Publication date: 6 August 2004

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

Full work available at URL: https://doi.org/10.1016/j.spl.2004.02.002

zbMATH Keywords

Unit root testsLocal-to-unity detrendingMomentum-threshold autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

A threshold cointegration test with increased power

Cites Work

• Modified unit root tests and momentum threshold autoregressive processes.
• recursive Mean Adjustment for Unit Root Tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root