TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS

DOI10.1111/IERE.12171zbMath1404.91227OpenAlexW2101869909MaRDI QIDQ2812318

Joon Y. Park, Mototsugu Shintani

Publication date: 16 June 2016

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1803/15770

zbMATH Keywords

unit rootexchange rateparametrized transition functiontransitional autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

Related Items (6)

A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models ⋮ Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? ⋮ Linearity tests and stochastic trend under the STAR framework ⋮ Testing for a unit root in a nonlinear quantile autoregression framework

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