Bootstrap Unit Root Tests for Nonlinear Threshold Models

Date

2008-09-01

Author

Becker, Ralf
Osborn, Denise R.
Yıldırım Kasap, Dilem

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

49
views

0
downloads

While a number of unit root testing procedures have been developed to account for nonlinearity under the alternative hypothesis of stationarity, almost all available tests assume a linear DGP under the unit root null hypothesis. This paper establishes some theoretical results relating to the inclusion of nonlinear terms in an ADF regression and proposes two new unit root tests that allow the process to be nonlinear under the null hypothesis. More specifically, block and model-based bootstrap procedures are developed for smooth transition threshold models. Simulations show that the latter is preferred and the model-based bootstrap test delivers a good size performance across all specifications, including linear and effectively abrupt transition models. The model-based test also dominates the other tests in terms of power and an application to the US unemployment rate shows that it can overturn conclusions based on an erroneous linearity assumption.

URI

https://hdl.handle.net/11511/100554

Conference Name

63rd European Meeting of the Econometric Society

Collections

Department of Economics, Conference / Seminar

Suggestions

OpenMETU
Core

Genetic Algorithm Application to the Structural Properties of Si-Ge Mixed Clusters Dugan, Nazim; Erkoç, Şakir (Informa UK Limited, 2009-01-01) Optimum geometries of silicon-germanium (Si-Ge) clusters are found using a single parent genetic algorithm. 100 atom and 150 atom clusters are studied with some variety of compositions and initial geometries. Total interaction energies, distances of Si and Ge atoms to the cluster centers, and average bond lengths are calculated. Si-core Ge-shell geometry is found to be favorable compared to other geometries.
Integrability of a generalized Ito system: The Painleve test Karasu-Kalkanli, A; Karasu, Atalay; Sakovich, SY (Physical Society of Japan, 2001-05-01) It is shown that a generalized Ito system of four coupled nonlinear evolution equations passes the Painleve test for integrability in five distinct cases, two of which were introduced recently by Tam et al. [H. W. Tam, X. B. Hu, D. L. Wang: J. Phys. Sec. Jpn. 68 (1999) 369]. A conjecture is formulated on integrability of a vector generalization of the Ito system.
Rapidity gap cross sections measured with the ATLAS detector in pp collisions at root s=7 TeV Aad, G.; et. al. (2012-03-01) Pseudorapidity gap distributions in proton-proton collisions at root s = 7 TeV are studied using a minimum bias data sample with an integrated luminosity of 7.1 mu b(-1). Cross sections are measured differentially in terms of Delta eta(F), the larger of the pseudorapidity regions extending to the limits of the ATLAS sensitivity, at eta = +/- 4.9, in which no final state particles are produced above a transverse momentum threshold p(T)(cut). The measurements span the region 0 Xp), enhanced by double dissoci...
Integrated nonlinear regression analysis of tracer and well test data Akın, Serhat (Elsevier BV, 2003-08-01) One frequent observation from conventional pressure transient test analysis is that field data match mathematical models derived for homogeneous systems. This observation suggests that pressure data as presently interpreted may not contain details concerning certain reservoir heterogeneities. On the other hand, tracer tests may be more sensitive to heterogeneous elements present in the reservoir because of the convective nature of the flow test. In this study, a possible improvement of conventional pressure...
Asymptotical lower limits on required number of examples for learning boolean networks Abul, Osman; Alhajj, Reda; Polat, Faruk (2006-11-03) This paper studies the asymptotical lower limits on the required number of samples for identifying Boolean Networks, which is given as Omega(logn) in the literature for fully random samples. It has also been found that; O(logn) samples are sufficient with high probability. Our main motivation is to provide tight lower asymptotical limits for samples obtained from time series experiments. Using the results from the literature on random boolean networks, lower limits on the required number of samples from tim...

Citation Formats

R. Becker, D. R. Osborn, and D. Yıldırım Kasap, “Bootstrap Unit Root Tests for Nonlinear Threshold Models,” presented at the 63rd European Meeting of the Econometric Society, Milan, İtalya, 2008, Accessed: 00, 2022. [Online]. Available: https://hdl.handle.net/11511/100554.