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.

MoreLess

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

More details

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