Titlebook: Unit Root Tests in Time Series Volume 2; Extensions and Devel Kerry Patterson Book 2012 Kerry Patterson 2012 integration.Parameter.regressi

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Semi-Parametric Estimation of the Long-memory Parameter, the short-run dynamic part of the model unspecified, apart from some key characteristics, or, while specifying the form of the short-run dynamics, they do not use all of the frequency range in estimating the long-memory parameter.

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Functional Form and Nonparametric Tests for a Unit Root, should be modelled as it is observed, referred to as the levels (or ‘raw’ data), or as some transformation of y., for example by taking the logarithm or reciprocal of the variable. Regression-based tests are sensitive to this distinction, for example modelling in levels when the random walk is in t

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Smooth Transition Nonlinear Models, the series can take. For example, there are a number of studies that have tested for unit root nonstationarities in unemployment rates and (nominal) interest rate data; however, the former are bounded by zero and one, and negative nominal interest rates are not observed. In practice, the boundednes

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Threshold Autoregressions, popular class of such models is the smooth transition autoregressive — or STAR — class, of which the exponential and logistic members are the most frequent in application, giving rise to the acronyms ESTAR and LSTAR. Another newer class of models, also considered in the previous chapter, motivated

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