literature is five-fold: First, we compare ESTAR and MSAR models from a unit root perspective. To this end, we propose a new unit … Carlo setup with real world parameter constellations. The ESTAR unit root test is not indicative, while the MSAR unit test … is robust. Fourthly, we consider the case of correctly specified alternatives and observe low power of the ESTAR but not …

roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit … means of a Monte Carlo study. The chosen parametrization is obtained by real-life exchange rates. The test against ESTAR has …