On the asymptotic distribution of a unit root test against ESTAR alternatives
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.
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Volume (Year): 82 (2012)
Issue (Month): 2 ()
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- 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.
- Jushan Bai & Serena Ng, 2001.
"A PANIC Attack on Unit Roots and Cointegration,"
Boston College Working Papers in Economics
519, Boston College Department of Economics.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- 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.
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