GLS Detrending for Nonlinear Unit Root Tests

This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of cases against both existing nonlinear unit root tests and standard unit root tests.

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Year of publication:	2002-11
Authors:	Kapetanios, George ; Shin, Yongcheol
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Detrending \| Nonlinear unit root tests \| Nonlinearity \| STAR models \| SETAR models

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 472
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106352