On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study

DOI10.1080/03610910500416132zbMath1086.62095OpenAlexW1990995716MaRDI QIDQ3378027

Young-Kyu Moh, Chi-Young Choi

Publication date: 29 March 2006

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910500416132

zbMATH Keywords

Monte Carlo simulationnonlinear dynamic modelsunit-root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Cites Work

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