articleTop 1% cited
Testing for a unit root in the nonlinear STAR framework
Journal of Econometrics · 2002 · Vol. 112(2) · pp. 359–379
George Kapetanios(Queen Mary University of London)Yongcheol Shin✉(University of Edinburgh)Andy Snell(University of Edinburgh)
Monetary Policy and Economic ImpactEconomic theories and modelsMarket Dynamics and VolatilityUnit rootAutoregressive modelMean reversionNonlinear systemMonte Carlo methodEconometricsNull hypothesisUnit root testMathematicsStatistical hypothesis testing
Funding
- Economic and Social Research Council
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1,541
FWCI
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References
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Journal of the American Statistical Association · 1979 · 22,774 citations
Testing linearity against smooth transition autoregressive models
Biometrika · 1988 · 1,333 citations
Testing for a unit root in time series regression
Biometrika · 1988 · 17,746 citations
Testing for unit roots in heterogeneous panels
Journal of Econometrics · 2003 · 14,790 citations
Testing for unit roots in autoregressive-moving average models of unknown order
Biometrika · 1984 · 3,186 citations
Hypothesis testing when a nuisance parameter is present only under the alternative
Biometrika · 1987 · 2,069 citations
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Journal of the American Statistical Association · 1979 · 9,000 citations
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