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On the asymptotic distribution of a unit root test against ESTAR alternatives

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  • Hanck, Christoph

Abstract

We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359–379] when nonzero means or both means and deterministic trends are accounted for. Some discrepancies to claims in Kapetanios et al. are discussed.

Suggested Citation

  • Hanck, Christoph, 2012. "On the asymptotic distribution of a unit root test against ESTAR alternatives," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 360-364.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:2:p:360-364
    DOI: 10.1016/j.spl.2011.11.001
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    References listed on IDEAS

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    1. Kapetanios, George & Shin, Yongcheol, 2008. "GLS detrending-based unit root tests in nonlinear STAR and SETAR models," Economics Letters, Elsevier, vol. 100(3), pages 377-380, September.
    2. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
    3. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    4. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
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    Cited by:

    1. Harvey David I. & Leybourne Stephen J. & Whitehouse Emily J., 2018. "Testing for a unit root against ESTAR stationarity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-29, February.
    2. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
    3. Hu, Junjuan & Chen, Zhenlong, 2016. "A unit root test against globally stationary ESTAR models when local condition is non-stationary," Economics Letters, Elsevier, vol. 146(C), pages 89-94.

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