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Testing for a unit root in a stationary ESTAR process


  • Rehim Kılıc


This article develops a statistic for testing the null of a linear unit root process against the alternative of a stationary exponential smooth transition autoregressive model. The asymptotic distribution of the test is shown to be nonstandard but nuisance parameter-free and hence critical values are obtained by simulations. Simulations show that the proposed statistic has considerable power under various data generating scenarios. Applications to real exchange rates also illustrate the ability of our test to reject null of unit root when some of the alternative tests do not.

Suggested Citation

  • Rehim Kılıc, 2011. "Testing for a unit root in a stationary ESTAR process," Econometric Reviews, Taylor & Francis Journals, vol. 30(3), pages 274-302.
  • Handle: RePEc:taf:emetrv:v:30:y:2011:i:3:p:274-302 DOI: 10.1080/07474938.2011.553511

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    References listed on IDEAS

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    Cited by:

    1. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94 Edward Elgar Publishing.
    2. Chen, Shyh-Wei, 2014. "Smooth transition, non-linearity and current account sustainability: Evidence from the European countries," Economic Modelling, Elsevier, vol. 38(C), pages 541-554.
    3. Zhang, Lingxiang, 2013. "Modeling China's inflation dynamics: An MRSTAR approach," Economic Modelling, Elsevier, vol. 31(C), pages 440-446.
    4. Zhang, Lingxiang, 2013. "Revisiting the empirics of inflation in China: A smooth transition error correction approach," Economics Letters, Elsevier, vol. 119(1), pages 68-71.

    More about this item


    ESTAR model; Nonlinearity; Unit root;


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