Linearity tests under the null hypothesis of a random walk with drift

DOI10.1007/S00362-015-0659-1zbMath1349.62437OpenAlexW2025308358MaRDI QIDQ284192

Lingxiang Zhang, Rong-Guo Yan

Publication date: 17 May 2016

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

Full work available at URL: https://doi.org/10.1007/s00362-015-0659-1

zbMATH Keywords

linearityrandom walk with driftSTAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• A new unit root test against ESTAR based on a class of modified statistics
• Linearity tests and stationarity
• A Powerful Test for Linearity When the Order of Integration is Unknown
• Testing for time series linearity
• Testing linearity against smooth transition autoregressive models
• SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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