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GLS detrending in Sollis nonlinear unit root tests

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  • Jen-Je Su
  • Jeremy K. Nguyen

Abstract

The Sollis (2009) nonlinear unit root test has been shown to possess attractive power properties, especially where the series being tested follows an Asymmetric Exponential Smooth Transition Autoregressive (AESTAR) process. In this article, we propose a modification of this test, namely, using GLS rather than OLS to detrend the relevant series. Simulation results indicate that, in general, the modified Sollis test is more powerful than the original test. An application to real GDP data for 20 OECD countries is provided.

Suggested Citation

  • Jen-Je Su & Jeremy K. Nguyen, 2013. "GLS detrending in Sollis nonlinear unit root tests," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1259-1262, September.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:13:p:1259-1262
    DOI: 10.1080/13504851.2013.802085
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    Cited by:

    1. Artur Silva Lopes & Gabriel Florin Zsurkis, 2019. "Are linear models really unuseful to describe business cycle data?," Applied Economics, Taylor & Francis Journals, vol. 51(22), pages 2355-2376, May.
    2. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    3. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.

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