Li, Yushu; Shukur, Ghazi - Centre of Excellence for Science and Innovation … - 2009
In this paper, we propose a Nonlinear Dickey-Fuller test for unit root against first order Logistic Smooth Transition … Autoregressive LSTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller test statistic is established under … there is a serious size distortion for the Nonlinear Dickey-Fuller test when GARCH errors appear in the Data Generating …