A unit root test based on smooth transitions and nonlinear adjustment

被引：12

作者：

Hepsag, Aycan ^{[1
]}

机构：

[1] Istanbul Univ, Fac Econ, Dept Econometr, Istanbul, Turkey

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2021年 / 50卷 / 03期

关键词：

Smooth transitions; nonlinearity; unit root; ESTAR; PPP Hypothesis;

D O I：

10.1080/03610918.2018.1563154

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we develop a new unit root testing procedure which considers jointly for structural breaks and nonlinear adjustment. The structural breaks are modeled by means of a logistic smooth transition function and nonlinear adjustment is modeled by means of an ESTAR model. The empirical size of test is quite close to the nominal one and in terms of power; the new unit root test is generally superior to the alternative test. The new unit root test presents good size properties and does not lead to over-rejections of the null hypothesis of the unit root.

引用

页码：625 / 632

页数：8

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