Unit Roots and Asymmetric Smooth Transitions

DOI10.1111/1467-9892.00165zbMath0940.62081OpenAlexW2052717266MaRDI QIDQ4956036

Paul Newbold, Stephen J. Leybourne, Robert Sollis

Publication date: 24 May 2000

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00165

zbMATH Keywords

autoregressionDickey-Fuller testnonlinear trendstructural change detection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) General nonlinear regression (62J02) Economic time series analysis (91B84)

Related Items (4)

A time series model for an exchange rate in a target zone with applications ⋮ Unit roots and double smooth transitions ⋮ Computation of limiting distributions in stationarity testing with a generic trend ⋮ On unit root testing with smooth transitions

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