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Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests

Robert Sollis

Economics Letters, 2011, vol. 112, issue 1, 19-22

Abstract: This paper investigates the finite-sample power of STAR-based unit root tests when the data generation process is a globally stationary three-regime TAR model. Unit root tests are proposed derived from STAR models that nest TAR models.

Keywords: Unit; roots; Nonlinearity; Power (search for similar items in EconPapers)
Date: 2011
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Handle: RePEc:eee:ecolet:v:112:y:2011:i:1:p:19-22