Modified unit root tests and momentum threshold autoregressive processes.
type: Item
instance of: scholarly article
title: Modified unit root tests and momentum threshold autoregressive processes.
zbMATH Open document ID: 1113.62348
DOI: 10.1016/S0167-7152(03)00133-0
author: Steven Cook
published in: Statistics \& Probability Letters
publication date: 2004-02-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 2041620
zbMATH Keywords: Unit root tests
zbMATH Keywords: Weighted symmetric estimation
zbMATH Keywords: Local-to-unity detrending
zbMATH Keywords: Forward and reverse regressions
zbMATH Keywords: Recursive mean adjustment
zbMATH Keywords: Momentum threshold autoregression
MaRDI profile type: Publication
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Efficient Tests for an Autoregressive Unit Root
cites work: ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
cites work: The Bias of Autoregressive Coefficient Estimators
cites work: Recursive mean adjustment for unit root tests
cites work: Q3696348
cites work: Threshold models in non-linear time series analysis
full work available at URL: s0167-7152(03)00133-0
OpenAlex ID: W2008015773
description: scientific article; zbMATH DE number 2041620