GLS detrending-based unit root tests in nonlinear STAR and SETAR models

George Kapetanios and Yongcheol Shin

Economics Letters, 2008, vol. 100, issue 3, 377-380

Abstract: We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:3:p:377-380

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