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| Test de Raíç Quadrada ADF No Lineal (Test KSS)× | Prova de límits del ARDL no lineal (NARDL)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2003 | 2014 |
| Autor original≠ | Kapetanios, Shin, and Snell | Shin, Yu, and Greenwood-Nimmo |
| Tipus≠ | Nonlinear unit root test | Asymmetric cointegration test |
| Font seminal≠ | Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. DOI ↗ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In W. C. Horrace & R. C. Sickles (Eds.), Festschrift in Honor of Peter Schmidt (pp. 281-314). Springer. DOI ↗ |
| Àlies | KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test | NARDL, asymmetric ARDL, nonlinear bounds testing approach, NARDL bounds testing |
| Relacionats≠ | 6 | 1 |
| Resum≠ | The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses. | The Nonlinear ARDL bounds test, developed by Shin, Yu, and Greenwood-Nimmo (2014), extends the linear ARDL framework to detect asymmetric long-run relationships in time series. By decomposing a regressor into positive and negative partial sums, NARDL simultaneously tests for cointegration and estimates separate long-run effects for increases and decreases — without requiring all variables to be integrated of the same order. |
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