Testing for a Unit Root against Nonlinear STAR Models
AbstractIn this paper we propose a simple testing procedure to detect the presence of nonstationarity against nonlinear stationarity based on the Smooth Transition Autoregressive modelling approach. We provide an advance over the existing literature in three senses: first, we derive the limiting nonstandard distribution of the proposed NLADF tests; second, we establish the superior power performance of the NLADF test over the standard linear ADF test under the alternative of nonlinear stationarity via Monte Carlo simulation exercises; third we provide an application to ex post real interest rates from six major OECD countries, and find the NLADF test is able to reject a unit root in cases, whereas the linear ADF tests fail.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 178.
Date of creation: Mar 2000
Date of revision:
Contact details of provider:
Postal: 2 Dean Trench Street Smith Square London SW1P 3HE
Web page: http://niesr.ac.uk
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Communications Manager).
If references are entirely missing, you can add them using this form.