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A new unit root test against ESTAR based on a class of modified statistics
| Content Provider | Semantic Scholar |
|---|---|
| Author | Kruse, Robinson |
| Copyright Year | 2011 |
| Abstract | This paper proposes a new unit root test against a nonlinear exponential smooth transition autoregressive model. This model receives much attention in international macroeconomics as it has been successfully applied to a variety of financial time series. The new test is build upon the nonstandard testing approach of Abadir and Distaso (J Econom 140:695–718, 2007) who introduce a class of modified statistics for testing joint hypotheses when one of the alternatives is one-sided. The asymptotic properties of the suggested unit root test are derived. In a Monte Carlo study the popular Dickey–Fuller-type test proposed by Kapetanios et al. (J Econom 112:359–379, 2003) is compared to the new test. The results suggest that the new test is generally superior in terms of power. An application to a real effective exchange rate underlines its usefulness. |
| Starting Page | 71 |
| Ending Page | 85 |
| Page Count | 15 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/s00362-009-0204-1 |
| Volume Number | 52 |
| Alternate Webpage(s) | https://www.econstor.eu/bitstream/10419/27207/1/568419642.PDF |
| Alternate Webpage(s) | http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-398.pdf |
| Alternate Webpage(s) | https://doi.org/10.1007/s00362-009-0204-1 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
