Unit roots and double smooth transitions

DOI10.1080/02664760120098739zbMath1347.62184OpenAlexW1988709002MaRDI QIDQ5309298

David I. Harvey, Terence C. Mills

Publication date: 9 October 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/preprint/Unit_roots_and_double_smooth_transitions/9492809

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Non-Markovian processes: hypothesis testing (62M07)

Related Items (7)

Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ Nonparametric panel stationarity testing with an application to crude oil production ⋮ Semi-parametric modelling of temperature records ⋮ Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent ⋮ Detection and attribution of climate change through econometric methods ⋮ Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures ⋮ Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Testing the constancy of regression parameters against continuous structural change
• Forecasting in Econometrics: editors’ introduction
• The Fitting of a Generalization of the Logistic Curve
• Unit roots and smooth transitions
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Roots and Asymmetric Smooth Transitions
• Estimating the transition between two intersecting straight lines

This page was built for publication: Unit roots and double smooth transitions