Kapetanios, George; Shin, Yongcheol - In: Econometric Reviews 30 (2011) 6, pp. 620-645
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of a particular form of nonlinear ergodic processes; namely, exponential smooth...