Linearity tests and stationarity

DOI10.1111/J.1368-423X.2004.00121.XzbMath1053.62020MaRDI QIDQ3156186

Rehim Kiliç

Publication date: 6 January 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

unit rootssmooth transition autoregressive modelEM-type tests

Mathematics Subject Classification ID

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

Related Items (12)

Linearity tests under the null hypothesis of a random walk with drift ⋮ Testing for a unit root in a stationary ESTAR process ⋮ CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES ⋮ A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models ⋮ Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ A unit root test against globally stationary ESTAR models when local condition is non-stationary ⋮ On tests for linearity against STAR models with deterministic trends ⋮ Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ Linearity tests and stochastic trend under the STAR framework ⋮ Performance of unit-root tests for non linear unit-root and partial unit-root processes ⋮ Tests for Linearity in Star Models: Supwald and Lm-Type Tests

Cites Work

• Testing for a unit root in the nonlinear STAR framework
• Stochastic Limit Theory
• Threshold Autoregression with a Unit Root
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