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Testing for a unit root in a stationary ESTAR process

  • Rehim Kılıc
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    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.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/07474938.2011.553511
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    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 30 (2011)
    Issue (Month): 3 ()
    Pages: 274-302

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    Handle: RePEc:taf:emetrv:v:30:y:2011:i:3:p:274-302
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