A test for a new modelling: The Univariate MT-STAR Model

Peter Martey Addo (pkaddo2000@yahoo.com), Monica Billio and Dominique Guegan (dominique.guegan@univ-paris1.fr)
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Peter Martey Addo: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In ESTAR models it is usually quite difficult to obtain parameter estimates, as it is discussed in the literature. The problem of properly distinguishing the transition function in relation to extreme parameter combinations often leads to getting strongly biased estimators. This paper proposes a new procedure to test for the unit root in a nonlinear framework, and contributes to the existing literature in three separate directions. First, we propose a new alternative model - the MT-STAR model - which has similar properties as the ESTAR model but reduces the effects of the identification problem and can also account for cases where the adjustment mechanism towards equilibrium is not symmetric. Second, we develop a testing procedure to detect the presence of a nonlinear stationary process by establishing the limiting non-standard asymptotic distributions of the proposed test-statistics. Finally, we perform Monte Carlo simulations to assess the small sample performance of the test and then to highlight its power gain over existing tests for a unit root. We proposed two applications.

Keywords: Monte Carlo simulations; Nonlinearity; smooth transition; unit root testing; Monte Carlo simulations.; Non linéarité; fonction de transition; test de la racine unité; simulations de Monte Carlo. (search for similar items in EconPapers)
Date: 2011-11
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00659158
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Citations: View citations in EconPapers (2)

Published in 2011

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Related works:
Working Paper: A test for a new modelling: The Univariate MT-STAR Model (2011)
Working Paper: A test for a new modelling: The Univariate MT-STAR Model (2011)
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