Add to ORKGThe aim of this paper is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion is modeled by means of a exponential smooth transition autoregression (ESTAR) function for the autoregressive parameter, whereas structural changes are approximated by a smooth transition in the deterministic components. We find that the proposed test performs well in terms of size and power, in particular when the autoregressive parameter is close to one
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (...
Since threshold autoregressive models were discovered, many unit root tests have been developed to t...
[[abstract]]This paper generalizes the univariate unit root test proposed by Sollis (2009) by adding...
The aim of this article is to develop a unit root test that takes into account two sources of nonlin...
In this paper, we develop a new unit root testing procedure which considers jointly for structural b...
We develop unit root tests that allow under the alternative hypothesis for a smooth transition betwe...
Conventional Dickey–Fuller unit root tests have been generalized to allow for nonlinearity under the...
This paper proposes new three unit root testing procedures which consider jointly for two structural...
In this paper we examine the local power of unit root tests against globally stationary exponential ...
This paper reconsiders the nature of the trends (i.e. deterministic or stochastic) in macroeconomic ...
Techniques for testing the null hypothesis of difference stationarity against stationarity around so...
In this paper we derive tests for parameter constancy when the data generating process is non-statio...
This thesis is a collection of four essays with main focus on testing for a unit root under structur...
A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow ...
In this study, we propose a new unit root test procedure that allows for both gradual structural bre...
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (...
Since threshold autoregressive models were discovered, many unit root tests have been developed to t...
[[abstract]]This paper generalizes the univariate unit root test proposed by Sollis (2009) by adding...
The aim of this article is to develop a unit root test that takes into account two sources of nonlin...
In this paper, we develop a new unit root testing procedure which considers jointly for structural b...
We develop unit root tests that allow under the alternative hypothesis for a smooth transition betwe...
Conventional Dickey–Fuller unit root tests have been generalized to allow for nonlinearity under the...
This paper proposes new three unit root testing procedures which consider jointly for two structural...
In this paper we examine the local power of unit root tests against globally stationary exponential ...
This paper reconsiders the nature of the trends (i.e. deterministic or stochastic) in macroeconomic ...
Techniques for testing the null hypothesis of difference stationarity against stationarity around so...
In this paper we derive tests for parameter constancy when the data generating process is non-statio...
This thesis is a collection of four essays with main focus on testing for a unit root under structur...
A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow ...
In this study, we propose a new unit root test procedure that allows for both gradual structural bre...
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (...
Since threshold autoregressive models were discovered, many unit root tests have been developed to t...
[[abstract]]This paper generalizes the univariate unit root test proposed by Sollis (2009) by adding...