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GLS Detrending for Nonlinear Unit Root Tests

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Author Info
George Kapetanios () (Queen Mary, University of London)
Yongcheol Shin (University of Edinburgh)

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Abstract

This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of cases against both existing nonlinear unit root tests and standard unit root tests.

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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 472.

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Date of creation: Nov 2002
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Handle: RePEc:qmw:qmwecw:wp472

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Related research
Keywords: Detrending; Nonlinear unit root tests; Nonlinearity; STAR models; SETAR models;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange

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Cited by:
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  1. Haluk Erlat, 2004. "Unit roots or nonlinear stationarity in Turkish real exchange rates," Applied Economics Letters, Taylor and Francis Journals, vol. 11(10), pages 645-650, August. [Downloadable!] (restricted)
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