A New Modelling Test: The Univariate MT-STAR Model.

A novel procedure to test for unit root in a nonlinear framework is proposed by first introducing a new model – the MT-STAR model – which has similar properties as the ESTAR model but reduces the effects of the identification problem and can also account for cases where the adjustment mechanism towards equilibrium is not symmetric. The limiting non-standard asymptotic distributions of the proposed unit root test is then derived. Finally, the power of the test is evaluated through a simulation study and some empirical illustrations are given at the end.