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Nonlinear ADF Unit Root Test/Evidence
Method evidence record

Nonlinear ADF Unit Root Test

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.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Nonlinear Augmented Dickey-Fuller Unit Root Test
Taxonomic method record · regression-model / econometrics
  • 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 10.1016/S0304-4076(02)00202-6
  • 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(366), 427-431. · DOI 10.2307/2286348
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Taxonomic bucketAugmented Dickey-Fuller unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear ARDL bounds testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear KPSS Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear VECMmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPhillips-Perron unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketZivot-Andrews Structural Break Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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