Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

Christoph Rothe; Philipp Sibbertsen

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence shows that the tests perform better than the standard Phillips-Perron or Dickey-Fuller tests in the region of the null.

MoreLess

Year of publication:	2005
Other Persons:	Rothe, Christoph (contributor) ; Sibbertsen, Philipp (contributor)
Publisher:	Hannover : Fachbereich Wirtschaftswiss., Univ.
Subject:	Einheitswurzeltest \| Unit root test \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Kaufkraftparität \| Purchasing power parity \| Theorie \| Theory \| Schätzung \| Estimation \| Australien \| Australia \| Neuseeland \| New Zealand \| Zeitreihenanalyse \| Schätztheorie

freely available

Full text |

More access options

opus.zbw-kiel.de

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

I need help

Extent:	Online-Ressource, 18 p., text ill
Series:	Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP). - Hannover : Wirtschaftswiss. Fak., Univ., ZDB-ID 2120102-X. - Vol. 315
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat reader
Classification:	Mathematische Statistik ; Methoden und Techniken der Volkswirtschaft ; Methoden und Techniken der Betriebswirtschaft
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10002926863