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Testing for a Unit Root in Noncausal Autoregressive Models

Saikkonen, Pentti - 2013

This work develops likelihood-based unit root tests in the noncausal autoregressive (NCAR) model formulated by Lanne and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to appear in the causal autoregressive polynomial and for reasons...

Persistent link: https://www.econbiz.de/10013072628

Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent

Sandberg, Rickard - In: The econometrics journal 11 (2008) 3, pp. 638-647

Persistent link: https://www.econbiz.de/10003802469

Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data : the Stock and Watson data re-examined

Sandberg, Rickard - In: Economic modelling 52 (2016), pp. 699-713

Persistent link: https://www.econbiz.de/10011643003

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

Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Persistent link: https://www.econbiz.de/10002570513

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

Persistent link: https://www.econbiz.de/10002577852