How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
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Publication:3594914
DOI10.1111/j.1368-423X.2007.00200.xzbMath1116.62089MaRDI QIDQ3594914
Publication date: 9 August 2007
Published in: The Econometrics Journal (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
Related Items (10)
Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications ⋮ A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models ⋮ Random walk or chaos: a formal test on the Lyapunov exponent ⋮ Linearity tests and stochastic trend under the STAR framework ⋮ TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS ⋮ Performance of unit-root tests for non linear unit-root and partial unit-root processes ⋮ How Do Nonlinear Unit Root Tests Perform with Non Normal Errors? ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Testing for a unit root in a nonlinear quantile autoregression framework ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data
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