Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
Economics Letters, 2011, vol. 112, issue 1, 19-22
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:1:p:19-22
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().