On the asymptotic distribution of a unit root test against ESTAR alternatives

Christoph Hanck

Statistics & Probability Letters, 2012, vol. 82, issue 2, 360-364

Abstract: We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359–379] when nonzero means or both means and deterministic trends are accounted for. Some discrepancies to claims in Kapetanios et al. are discussed.

Keywords: Unit root test; ESTAR; Asymptotic distribution; Itô’s Lemma (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2011.11.001

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