Unit root tests for ESTAR models

DOI10.1080/15598608.2012.719812zbMath1423.62112OpenAlexW2101508648MaRDI QIDQ2320866

Heni Puspaningrum, Yan-Xia Lin, Chandra M. Gulati

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cssmwp/85

zbMATH Keywords

unit root testaugmented Dickey-Fuller testESTAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach

Cites Work

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• Asymptotics for linear processes
• Monotonous stability for neutral fixed points
• Testing for a unit root in the nonlinear STAR framework
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Threshold Cointegration
• Nonparametric testing of closeness between two unknown distribution functions
• Threshold Autoregression with a Unit Root
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• The perils of Taylor rules

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