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Testing for a unit root in a stationary ESTAR process

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  • Rehim Kılıc
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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.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/07474938.2011.553511
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 30 (2011)
    Issue (Month): 3 ()
    Pages: 274-302

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    Handle: RePEc:taf:emetrv:v:30:y:2011:i:3:p:274-302

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    Related research

    Keywords: ESTAR model; Nonlinearity; Unit root;

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    Cited by:
    1. Zhang, Lingxiang, 2013. "Modeling China's inflation dynamics: An MRSTAR approach," Economic Modelling, Elsevier, vol. 31(C), pages 440-446.
    2. Chen, Shyh-Wei, 2014. "Smooth transition, non-linearity and current account sustainability: Evidence from the European countries," Economic Modelling, Elsevier, vol. 38(C), pages 541-554.
    3. Zhang, Lingxiang, 2013. "Revisiting the empirics of inflation in China: A smooth transition error correction approach," Economics Letters, Elsevier, vol. 119(1), pages 68-71.
    4. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.

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