Nonlinearity and Smooth Breaks in Unit Root Testing
Tolga Omay () and
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Dilem Yildirim: METU University, Department of Economics
Econometrics Letters, 2014, vol. 1, issue 1, 1-9
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 O47 (search for similar items in EconPapers)
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Working Paper: Nonlinearity and Smooth Breaks in Unit Root Testing (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bmo:bmoart:v:1:y:2014:i:1:p:1-9
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