A unit root test based on smooth transitions and nonlinear adjustment

DOI10.1080/03610918.2018.1563154zbMath1489.62278OpenAlexW2762712917WikidataQ128464005 ScholiaQ128464005MaRDI QIDQ5084008

Aycan Hepsag

Publication date: 21 June 2022

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/81788/1/MPRA_paper_81788.pdf

zbMATH Keywords

nonlinearityunit rootPPP hypothesisESTARsmooth transitions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• Testing joint hypotheses when one of the alternatives is one-sided
• A new unit root test against ESTAR based on a class of modified statistics
• Testing for a unit root in the nonlinear STAR framework
• Unit roots and smooth transitions
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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