Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics

• Published in: Journal of time series analysis Vol. 39; no. 6; pp. 942 - 952
• Main Author: Sandberg, Rickard
• Format: Journal Article
• Language: English
• Published: Oxford, UK John Wiley & Sons, Ltd 01.11.2018; Blackwell Publishing Ltd
• Subjects: Bias; Business cycles; Change agents; Cointegration analysis; Economic crisis; Economic models; G7 industrial production series; Industrial production; Nonlinear dynamics; Nonlinear trends; Petroleum; Post World War II period; Specification; Technology; unit roots
• ISSN: 0143-9782; 1467-9892; 1467-9892
• DOI: 10.1111/jtsa.12424

This work builds a flexible model accommodating nonlinear dynamics around a trend function with multiple (up to m) gradual shifts. Such a model is suitable for capturing the behavior of many post World War II economic time‐series subject to the onset of external causes such as oil crises, financial...