On the asymptotic distribution of a unit root test against ESTAR alternatives

We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359–379] when nonzero means or both means and deterministic trends are accounted for. Some discrepancies to claims in Kapetanios et al. are discussed.

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Year of publication:	2012
Authors:	Hanck, Christoph
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 2, p. 360-364
Publisher:	Elsevier
Subject:	Unit root test \| ESTAR \| Asymptotic distribution \| Itô’s Lemma

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039917