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
Authors:	Rothe, Christoph ; Sibbertsen, Philipp
Publisher:	Hannover : Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	Exponential smooth transition autoregressive model \| Unit roots \| Monte Carlo simulations \| Purchasing Power Parity

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Series:	Diskussionsbeitrag ; 315
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	491211597 [GVK] hdl:10419/22427 [Handle] RePEc:han:dpaper:dp-315 [RePEc]
Classification:	C32 - Time-Series Models ; C12 - Hypothesis Testing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010262936