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GLS Detrending for Nonlinear Unit Root Tests


  • George Kapetanios

    () (Queen Mary, University of London)

  • Yongcheol Shin

    (University of Edinburgh)


This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of cases against both existing nonlinear unit root tests and standard unit root tests.

Suggested Citation

  • George Kapetanios & Yongcheol Shin, 2002. "GLS Detrending for Nonlinear Unit Root Tests," Working Papers 472, Queen Mary University of London, School of Economics and Finance.
  • Handle: RePEc:qmw:qmwecw:wp472

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    References listed on IDEAS

    1. Chortareas, Georgios E. & Kapetanios, George & Shin, Yongcheol, 2002. "Nonlinear mean reversion in real exchange rates," Economics Letters, Elsevier, vol. 77(3), pages 411-417, November.
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    Cited by:

    1. George Kapetanios, 2002. "Measuring Conditional Persistence in Time Series," Working Papers 474, Queen Mary University of London, School of Economics and Finance.
    2. Haluk Erlat, 2004. "Unit roots or nonlinear stationarity in Turkish real exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 11(10), pages 645-650.
    3. Cook, Steven, 2004. "A momentum-threshold autoregressive unit root test with increased power," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 307-310, May.

    More about this item


    Detrending; Nonlinear unit root tests; Nonlinearity; STAR models; SETAR models;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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