Nonlinearity and Smooth Breaks in Unit Root Testing

We develop unit root tests that allow under the alternative hypothesis for a smooth transition between deterministic linear trends, around which stationary asymmetric adjustment may occur by employing exponential smooth transition auto-regressive (ESTAR) models The small sample properties of the newly developed test are briefly investigated and an application for investigating the PPP hypothesis for Argentina is provided.

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Year of publication:	2013-05-10
Authors:	Omay, Tolga ; Yildirim, Dilem
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Smooth Break \| Nonlinear Unit Root Test \| PPP

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Econometrics Letters 1.1(2014): pp. 2-9
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; F4 - Macroeconomic Aspects of International Trade and Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011184597