A new unit root test based on F-statistic in ESTAR framework

被引：1

作者：

Wang, Shaoping ^{[1
]}

Yu, Jiyu ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Sch Econ, Wuhan, Hubei, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 19期

基金：

中国国家自然科学基金;

关键词：

Unit root test; nonlinearity; ESTAR; real exchange rates; C22; F31; BEHAVIOR; MODELS;

D O I：

10.1080/13504851.2017.1282135

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article proposes a new F-type unit test in the exponential smooth transition autoregressive framework. We derive the asymptotic nonstandard distribution of the proposed test and explore its finite sample properties; simulation results show our test has greater power than the t(kss) test proposed by Kapetanios et al.(2003). Finally, an application on the real exchange rates further underpins its superiority.

引用

页码：1412 / 1416

页数：5

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