A new unit root test based on -statistic in ESTAR framework

Shaoping Wang and Jiyu Yu

Applied Economics Letters, 2017, vol. 24, issue 19, 1412-1416

Abstract: This article proposes a new F-type unit test in the exponential smooth transition autoregressive framework. We derive the asymptotic nonstandard distribution of the proposed test and explore its finite sample properties; simulation results show our test has greater power than the tkss test proposed by Kapetanios et al.(2003). Finally, an application on the real exchange rates further underpins its superiority.

Date: 2017
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DOI: 10.1080/13504851.2017.1282135

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