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Testing for a unit root against ESTAR nonlinearity with a delay parameter greater than one

Author

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  • Stephen Norman

    () (University of Washington, Tacoma)

Abstract

In this paper, the tests of Kapetanios, Shin, and Snell (2003) and Bec, Ben Salem, and Carrasco (2004), which are designed to detect nonstationarity verses globally stationary exponential smooth transition autoregressive (ESTAR) nonlinearity, are extended to allow for a delay parameter, d, that is greater than one. Based on Monte Carlo simulations, it is shown that when the true delay parameter is greater than one, using the test with the correct value of d improves power almost uniformly compared to constraining the delay parameter to be unity. Using the tests when the delay parameter is not known and must be estimated is also addressed.

Suggested Citation

  • Stephen Norman, 2009. "Testing for a unit root against ESTAR nonlinearity with a delay parameter greater than one," Economics Bulletin, AccessEcon, vol. 29(3), pages 2152-2173.
  • Handle: RePEc:ebl:ecbull:eb-08c20060
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, "undated". "Testing for a unit root against ESTAR stationarity," Discussion Papers 17/02, University of Nottingham, Granger Centre for Time Series Econometrics.
    2. Cho, Dooyeon & Doblas-Madrid, Antonio, 2014. "Trade intensity and purchasing power parity," Journal of International Economics, Elsevier, vol. 93(1), pages 194-209.

    More about this item

    Keywords

    Exponential smooth transition model; Unit roots; Monte Carlo simulations;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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