منابع مشابه
Unit Root Testing and Estimation in Nonlinear ESTAR Models with Normal and Non-Normal Errors
Exponential Smooth Transition Autoregressive (ESTAR) models can capture non-linear adjustment of the deviations from equilibrium conditions which may explain the economic behavior of many variables that appear non stationary from a linear viewpoint. Many researchers employ the Kapetanios test which has a unit root as the null and a stationary nonlinear model as the alternative. However this tes...
متن کاملBootstrap Unit Root Tests
We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...
متن کاملUnit Root Tests in Three-Regime SETAR Models
This paper proposes a simple direct testing procedure to distinguish a linear unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. We derive the asymptotic null distribution of the Wald statistic, and show that it does not depend on unknown fixed threshold values. Monte Carlo evidence clearly indicates that the exponential average of the Wald...
متن کاملEfficient Tests for an Autoregressive Unit Root
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...
متن کاملDifferencing and Unit Root Tests
e d In the Box-Jenkins approach to analyzing time series, a key question is whether to difference th ata, i.e., to replace the raw data {y } by the differenced series {y −y }. Experience indicates that m t t t −1 ost economic time series tend to wander and are not stationary, but that differencing often yields a e r stationary result. A key example, which often provides a fairly good descriptio...
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ژورنال
عنوان ژورنال: Journal of Statistical Theory and Practice
سال: 2013
ISSN: 1559-8608,1559-8616
DOI: 10.1080/15598608.2012.719812