The term structure of interest rates in Japan is analysed by means of a cointegration test in a non-linear smooth transition autoregression (STAR) framework. The STAR approach tests for the null hypothesis with no cointegration against cointegration including a globally stationary process. The...

This study proposes a unit root test for a time series having a mean shift at an unknown point. The proposed test using a variance ratio as a test statistic can be used to test a wide range of linear and nonlinear processes characterized by a mean shift. Monte Carlo simulations indicate that our...