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Dickey-Fuller type of tests against non-linear dynamic models
Dalarna University, School of Technology and Business Studies, Statistics.
2006 (English)In: Oxford Bulletin of Economics and Statistics, ISSN 0305-9049, E-ISSN 1468-0084, Vol. 68, no s1, p. 835-861Article in journal (Refereed) Published
Abstract [en]

In this paper, we introduce several test statistics testing the null hypothesis 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 the tests. The power performance of the tests is compared with that of the unit-root tests by Phillips and Perron [Biometrika (1988), Vol. 75, pp. 335–346], and Leybourne, Newbold and Vougas [Journal of Time Series Analysis (1998), Vol. 19, pp. 83–97]. In the presence of a gradual change in the deterministics and in the dynamics, our tests are superior in terms of power.

Place, publisher, year, edition, pages
2006. Vol. 68, no s1, p. 835-861
National Category
Mathematics
Identifiers
URN: urn:nbn:se:du-2599ISI: 000242308600009OAI: oai:dalea.du.se:2599DiVA, id: diva2:519779
Conference
Frontiers in Time Series Analysis Conference, Olbia, Italy, May 29-31 2005
Available from: 2007-03-30 Created: 2007-03-30 Last updated: 2017-12-07Bibliographically approved

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