How Do Nonlinear Unit Root Tests Perform with Non Normal Errors?

References

• Choi , C. Y. , Moh , Y. K. ( 2007 ). How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes? Econometrics Journal 10 : 82 – 112 .
   Web of Science ®Google Scholar
• Dickey , D. A. , Fuller , W. A. ( 1979 ). Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association 74 : 427 – 431 .
   Web of Science ®Google Scholar
• Hall , P. , Heyde , C. C. ( 1980 ). Martingale Limit Theory and its Applications . New York : Academic press .
   Google Scholar
• Kapetanios , G. , Shin , Y. , Snell , A. ( 2003 ). Testing for a unit root in the nonlinear STAR framework . Journal of Econometrics 112 : 359 – 379 .
   Web of Science ®Google Scholar
• Kim , K. , Schmidt , P. ( 1993 ). Unit root tests with conditional heteroskedasticity . Journal of Econometrics 59 : 287 – 300 .
   Web of Science ®Google Scholar
• Park , J. Y. , Phillips , P. C. B. ( 1999 ). Asymptotics for nonlinear transformations of integrated time series . Econometric Theory , 15 : 269 – 298 .
   Web of Science ®Google Scholar
• Park , J. Y. , Shintani , M. ( 2005 ). Testing for a Unit Root Against Transitional Autoregressive Models . Working Paper, Department of Economics, Vanderbilt University, Nashville, TN. USA .
   Google Scholar
• Phillips , P. C. B. , Perron , P. ( 1988 ). Testing for a unit root in time series regression . Biometrika 75 : 335 – 346 .
   Web of Science ®Google Scholar
• So , B. , Shin , D. W. ( 2001 ). An invariant sign test for random walks based on recursive median adjustment . Journal of Econometrics 102 : 197 – 229 .
   Web of Science ®Google Scholar