A unit root test against globally stationary ESTAR models when local condition is non-stationary

Junjuan Hu and Zhenlong Chen

Economics Letters, 2016, vol. 146, issue C, 89-94

Abstract: This paper focuses on testing for the unit root hypothesis against local-explosive or local unit root but globally stationary ESTAR process. A modified Wald-type test for a joint hypothesis where one parameter is one-sided while the others are two-sided under the alternative is proposed. The asymptotic distribution of the test statistic is derived, which is shown to be a function of Brownian motions and does not depend on nuisance parameters. Critical values of the test are tabulated and some simulation results are reported. Results show that the modified Wald-type test performs well.

Keywords: Unit root; Wald-type test; ESTAR models; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:146:y:2016:i:c:p:89-94

DOI: 10.1016/j.econlet.2016.07.002

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