Testing for a Unit Root against Nonlinear STAR Models
exponential smooth transition autoregressive model, nonlinearity, unit root statistics, critical values, Monte Carlo values, Monte Carlo simulation, real interest rates
|Date of creation:||Mar 2000|
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- Nathan S. Balke & Thomas B. Fomby, 1992.
9209, Federal Reserve Bank of Dallas.
- Caner,M. & Hansen,B.E., 1998.
"Threshold autoregression with a near unit root,"
27, Wisconsin Madison - Social Systems.
- n/a, 2001. "Balance of payments prospects in EMU," NIESR Discussion Papers 164, National Institute of Economic and Social Research.
- Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
- Pippenger, Michael K & Goering, Gregory E, 1993. "A Note on the Empirical Power of Unit Root Tests under Threshold Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(4), pages 473-81, November.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- O'Connell, P. G. J., 1998. "Market frictions and real exchange rates1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 71-95, February.
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