Nonlinearity and Smooth Breaks in Unit Root Testing

Tolga Omay and Dilem Yildirim

MPRA Paper from University Library of Munich, Germany

Abstract: We develop unit root tests that allow under the alternative hypothesis for a smooth transition between deterministic linear trends, around which stationary asymmetric adjustment may occur by employing exponential smooth transition auto-regressive (ESTAR) models The small sample properties of the newly developed test are briefly investigated and an application for investigating the PPP hypothesis for Argentina is provided.

Keywords: Smooth Break; Nonlinear Unit Root Test; PPP (search for similar items in EconPapers)
JEL-codes: C12 C22 F4 (search for similar items in EconPapers)
Date: 2013-05-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (7)

Published in Econometrics Letters 1.1(2014): pp. 2-9

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Related works:
Journal Article: Nonlinearity and Smooth Breaks in Unit Root Testing (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:62334

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