EconPapers    
Economics at your fingertips  
 

Nonlinearity and Smooth Breaks in Unit Root Testing

Tolga Omay and Dilem Yildirim
Additional contact information
Dilem Yildirim: METU University, Department of Economics

Econometrics Letters, 2014, vol. 1, issue 1, 1-9

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 O47 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://econometricsletters.com/yedek/files/Omay%20Yildirim%20LNV%20KSS.pdf

Related works:
Working Paper: Nonlinearity and Smooth Breaks in Unit Root Testing (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bmo:bmoart:v:1:y:2014:i:1:p:1-9

Access Statistics for this article

More articles in Econometrics Letters from Bilimsel Mektuplar Organizasyonu (Scientific letters)
Bibliographic data for series maintained by Tolga Omay ().

 
Page updated 2024-10-18
Handle: RePEc:bmo:bmoart:v:1:y:2014:i:1:p:1-9