Unit Roots and Smooth Transitions: A Replication

This paper replicates Leybourne et al. (1998), who propose a Dickey-Fuller type test for unit root that is most appropriate when there is reason to suspect the possibility of deterministic structural change in the series. We find that our replicated results are quite similar to the authors' results. We also make the Ox source code available.

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Year of publication:	2015-02-04
Authors:	Kulaksizoglu, Tamer
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Dickey-Fuller test \| Integrated process \| Nonlinear trend \| Structural change

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011156982