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Nonlinear ADF Unit Root Test/Ushahidi
Rekodi ya ushahidi wa mbinu

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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Rekodi ya chanzo

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Nonlinear Augmented Dickey-Fuller Unit Root Test
Rekodi ya mbinu ya kiajenda · 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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Sources recorded, not reviewed

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

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