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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Omay, Tolga and Yildirim, Dilem (2013): Nonlinearity and Smooth Breaks in Unit Root Testing. Published in: Econometrics Letters , Vol. 1, No. 1 (1 June 2014): pp. 2-9.
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; F4 - Macroeconomic Aspects of International Trade and Finance
Source:	BASE

Persistent link: https://www.econbiz.de/10015246434