Publication: Testing for a unit root in a stationary ESTAR process
Program
KU-Authors
KU Authors
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N/A
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Type
Embargo Status
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Abstract
This article develops a statistic for testing the null of a linear unit root process against the alternative of a stationary exponential smooth transition autoregressive model. The asymptotic distribution of the test is shown to be nonstandard but nuisance parameter-free and hence critical values are obtained by simulations. Simulations show that the proposed statistic has considerable power under various data generating scenarios. Applications to real exchange rates also illustrate the ability of our test to reject null of unit root when some of the alternative tests do not.
Source
Publisher
Taylor & Francis Inc
Subject
Economics, Mathematics, Social Sciences, Mathematical methods, Statistics, Probability
Citation
Has Part
Source
Econometric Reviews
Book Series Title
Edition
DOI
10.1080/07474938.2011.553511