Cuestas, Juan Carlos; Ordóñez, Javier - Department of Economics, University of Sheffield - 2012
The aim of this paper is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion is modeled by means of a exponential smooth transition autoregression (ESTAR)...