Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests

This paper investigates the finite-sample power of STAR-based unit root tests when the data generation process is a globally stationary three-regime TAR model. Unit root tests are proposed derived from STAR models that nest TAR models.

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Year of publication:	2011
Authors:	Sollis, Robert
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 1, p. 19-22
Publisher:	Elsevier
Subject:	Unit roots Nonlinearity Power

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

Persistent link: https://www.econbiz.de/10009146110