The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications

DOI10.1007/S10614-007-9107-1zbMath1290.62083OpenAlexW1969231136MaRDI QIDQ2476609

Daiki Maki

Publication date: 12 March 2008

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-007-9107-1

zbMATH Keywords

TARSTARSize distortionYield spreadLow powerVariance ratio unit root tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistical methods; economic indices and measures (91B82)

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Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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• Threshold Cointegration
• TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
• Generalizations of the KPSS‐test for stationarity
• Unit root tests in three‐regime SETAR models

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