The power of unit root tests against nonlinear local alternatives-Reference-Cited by-同舟云学术

The power of unit root tests against nonlinear local alternatives

Published:2012-08-10 Issue:1 Volume:34 Page:40-61
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:

Author:

Demetrescu Matei,Kruse Robinson

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2012.00812.x/fullpdf

Reference46 articles.

1. Threshold cointegration;Balke;International Economic Review,1997

2. Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship;Bec;Journal of Business and Economic Statistics,2004

3. Adaptive consistent unit-root tests based on autoregressive threshold model;Bec;Journal of Econometrics,2008

4. Born , B. Demetrescu , M. 2011 Recursive adjustment for general deterministic components and improved tests for the cointegration rank University of Bonn

5. Nonlinear econometric models with cointegrated and deterministically trending regressors;Chang;The Econometrics Journal,2001

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability;American Journal of Agricultural Economics;2017-10-24

2. Testing for a unit root against ESTAR stationarity;Studies in Nonlinear Dynamics & Econometrics;2017-06-16

3. Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach;Empirical Economics;2015-12-19

4. On the Transmission of Memory in Garch‐in‐Mean Models;Journal of Time Series Analysis;2015-02-03

5. A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data;Econometric Reviews;2014-10-22