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Testing for unit roots in nonlinear heterogeneous panels with smoothly changing trends : an application to Scandinavian unemployment rates

Sandberg, Rickard - In: Empirical economics : a journal of the Institute for … 51 (2016) 3, pp. 1053-1083

Persistent link: https://www.econbiz.de/10011554367

Dickey-Fuller type of tests against nonlinear dynamic models

He, Changli; Sandberg, Rickard - 2005

In this paper we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure, and the trend. We derive analytical limiting distributions for all tests....

Persistent link: https://www.econbiz.de/10010281281

Dickey-Fuller Type of Tests against Nonlinear Dynamic Models

He, Changli; Sandberg, Rickard - Economics Institute for Research (SIR), … - 2005

(p); LSTART(p); Nonlinear Trends; Parameter Constancy; Unit Root, Brownian motion e-mail:changli.he@hhs.se ye-mail: strs … (LSTAR(p)) in Lin and Ter�svirta (1994), and also an LSTAR(p) model where a time trend is included (LSTART(p)). We assume … autoregressive (TAR) model discussed in Chan and Tong (1986). 2.1 The LSTAR(p), LSTART(p), and LSTD(p) models The discussion in this …

Persistent link: https://www.econbiz.de/10005190836