Linearity tests and stochastic trend under the STAR framework

DOI10.1007/s00362-018-1047-4zbMath1467.62124OpenAlexW2889844406WikidataQ129205548 ScholiaQ129205548MaRDI QIDQ2029206

Lingxiang Zhang

Publication date: 3 June 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-1047-4

zbMATH Keywords

linearitystochastic trendSTARmaximized Monte Carlo simulation-based test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Uses Software

• STAR

Cites Work

• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Test for linearity against STAR models with deterministic trends
• A new unit root test against ESTAR based on a class of modified statistics
• Testing for a unit root in the nonlinear STAR framework
• TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS
• Performance of unit-root tests for non linear unit-root and partial unit-root processes
• Linearity tests and stationarity
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Testing for time series linearity
• Threshold Cointegration
• Threshold Autoregression with a Unit Root
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Modelling Nonlinear Economic Time Series
• An invariant sign test for random walks based on recursive median adjustment

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