Unit Roots and Asymmetric Smooth Transitions

Robert Sollis, Stephen Leybourne () and Paul Newbold

Journal of Time Series Analysis, 1999, vol. 20, issue 6, 671-677

Abstract: It has been found useful, as an alternative to a difference‐stationary generating model, to consider the possibility of stationarity around a function that permits a smooth transition from one linear trend to another. Previous research has concentrated on functions that are symmetric around the point at which 50% of the transition is completed. Here we permit the possibility of asymmetry in the transition, allowing for example slow entry to and rapid exit from this evolutionary phase. It is shown through simulation and an interesting real data set that this can lead to the detection of further departures from difference stationarity.

Date: 1999
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