A new unit root test against ESTAR based on a class of modified statistics

DOI10.1007/s00362-009-0204-1zbMath1247.62226OpenAlexW1997249152MaRDI QIDQ451481

Robinson Kruse

Publication date: 23 September 2012

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

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-398.pdf

zbMATH Keywords

nonlinearitiessmooth transitionnonstandard testingreal effective exchange rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (9)

Linearity tests under the null hypothesis of a random walk with drift ⋮ GLS detrending in nonlinear unit root test ⋮ A unit root test based on smooth transitions and nonlinear adjustment ⋮ A new nonlinear unit root test with Fourier function ⋮ Multiple unit root tests under uncertainty over the initial condition: some powerful modifications ⋮ M-estimator based unit root tests in the ESTAR framework ⋮ Linearity tests and stochastic trend under the STAR framework ⋮ Weak identification in the ESTAR model and a new model ⋮ 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

Uses Software

• ESTAR

Cites Work

• Testing joint hypotheses when one of the alternatives is one-sided
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• Testing for a unit root in the nonlinear STAR framework
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• Testing for a unit root in time series regression
• Testing linearity against smooth transition autoregressive models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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