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

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.

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Year of publication:	2005-06
Authors:	Rothe, Christoph ; Sibbertsen, Philipp
Institutions:	Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
Subject:	Exponential smooth transition autoregressive model \| Unit roots \| Monte Carlo simulations \| Purchasing Power Parity

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Extent:	application/pdf
Series:	Hannover Economic Papers (HEP). - ISSN 0949-9962.
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005464749