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The univariate MT-STAR model and a new linearity and unit root test procedure

Peter Martey Addo, Monica Billio () and Dominique Guégan

Computational Statistics & Data Analysis, 2014, vol. 76, issue C, 4-19

Abstract: A novel procedure to test for linearity and unit root in a nonlinear framework is proposed by introducing a new model–the MT-STAR model–which has similar properties of the ESTAR model but reduces the effects of the identification problem and can also account for asymmetry in the adjustment mechanism towards equilibrium. The asymptotic distribution of the proposed unit root test is non standard and is derived. The power of the test is evaluated through a simulation study and some empirical illustrations on real exchange rates show its accuracy.

Keywords: Nonlinearity; Exponential smooth transition autoregressive model; Unit roots; Monte Carlo simulations; Real exchange rates (search for similar items in EconPapers)
Date: 2014
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Working Paper: The univariate MT-STAR model and a new linearity and unit root test procedure (2014)
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