Performance of unit-root tests for non linear unit-root and partial unit-root processes

DOI10.1080/03610926.2014.922985zbMath1397.62327OpenAlexW2413297725MaRDI QIDQ2816436

Lingxiang Zhang

Publication date: 22 August 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.922985

zbMATH Keywords

Monte Carlo simulationunit-root testspartial unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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Cites Work

• Testing for a unit root in the nonlinear STAR framework
• Linearity tests and stationarity
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• 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
• Unit root tests in three‐regime SETAR models
• An invariant sign test for random walks based on recursive median adjustment

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