Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests

DOI10.1016/J.ECONLET.2011.03.008zbMath1217.62139OpenAlexW2005572412MaRDI QIDQ553865

Robert Sollis

Publication date: 28 July 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.03.008

zbMATH Keywords

powerunit roots

Mathematics Subject Classification ID

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

Cites Work

• Testing for a unit root in the nonlinear STAR framework
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing linearity against smooth transition autoregressive models
• Unit root tests in three‐regime SETAR models

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