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Jointly testing linearity and nonstationarity within threshold autoregressions
Pitarakis, Jean-Yves - 2012
Persistent link: https://www.econbiz.de/10009672417
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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White noise testing and model diagnostic checking for functional time series
Zhang, Xianyang - In: Journal of econometrics 194 (2016) 1, pp. 76-95
Persistent link: https://www.econbiz.de/10011705041
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Testing for strict stationarity in a random coefficient autoregressive model
Trapani, Lorenzo - In: Econometric reviews 40 (2021) 3, pp. 220-256
Persistent link: https://www.econbiz.de/10012515596
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Identifying trend nature in time series using autocorrelation functions and stationarity tests
Boutahar, Mohamed; Royer-Carenzi, M. - In: International journal of computational economics and … 14 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015062771
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Wavelet energy ratio unit root tests
Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10012180698
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Testing for unit roots in panel data using a wavelet ratio method
Li, Yushu; Shukur, Ghazi - In: Computational economics 41 (2013) 1, pp. 59-69
Persistent link: https://www.econbiz.de/10009705033
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The Kalman filter method for break point estimation in unit root tests
Emirmahmutoglu, Furkan; Köse, Nezir; Yalcin, Yeliz - In: Applied economics letters 15 (2008) 1/3, pp. 193-198
Persistent link: https://www.econbiz.de/10003725184
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Testing for integration using evolving trend and seasonals models : a Bayesian approach
Koop, Gary; Dijk, Herman K. van - 1999
In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...
Persistent link: https://www.econbiz.de/10011302135
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Testing for integration using evolving trend and seasonals models : a Bayesian approach
Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10010338455