THE INF-TTEST FOR A UNIT ROOT AGAINST ASYMMETRIC EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE MODELS

2013 ◽  
Vol 64 (1) ◽  
pp. 3-15 ◽  
Author(s):  
Mototsugu Shintani
Keyword(s):  
Unit Root ◽  
Autoregressive Models ◽  
Smooth Transition ◽  
Smooth Transition Autoregressive

scholarly journals Testing for a unit root against ESTAR stationarity

2017 ◽  
Vol 22 (1) ◽  
Author(s):  
David I. Harvey ◽  
Stephen J. Leybourne ◽  
Emily J. Whitehouse
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Smooth Transition ◽  
Local Power ◽  
Sources Of Uncertainty ◽  
Deterministic Trend ◽  
Smooth Transition Autoregressive

AbstractIn this paper we examine the local power of unit root tests against globally stationary exponential smooth transition autoregressive [ESTAR] alternatives under two sources of uncertainty: the degree of nonlinearity in the ESTAR model, and the presence of a linear deterministic trend. First, we show that the KSS test (Kapetanios, G., Y. Shin, and A. Snell. 2003. “Testing for a Unit Root in the Nonlinear STAR Framework.”

Robust Tests Against Smooth Transition Autoregressive Models

2002 ◽  
Vol 72 (2) ◽  
pp. 167-178
Author(s):  
A. B. M. Rabiul Alam Beg ◽  
Mervyn Joseph Silvapulle ◽  
Paramsothy Silvapulle
Keyword(s):  
Autoregressive Models ◽  
Smooth Transition ◽  
Robust Tests ◽  
Smooth Transition Autoregressive

A Portmanteau Test for Smooth Transition Autoregressive Models

2019 ◽  
Vol 41 (5) ◽  
pp. 722-730
Author(s):  
Qiang Xia ◽  
Zhiqiang Zhang ◽  
Wai Keung Li
Keyword(s):  
Autoregressive Models ◽  
Smooth Transition ◽  
Smooth Transition Autoregressive
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