The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications
| Year of publication: |
2008
|
|---|---|
| Authors: | Maki, Daiki |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 31.2008, 1, p. 77-94
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Variance ratio unit root tests | TAR | STAR | Size distortion | Low power | Yield spread |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005701626