Testing for a unit root in a stationary ESTAR process

Rehim Kılıc

Econometric Reviews, 2011, vol. 30, issue 3, 274-302

Abstract: This article develops a statistic for testing the null of a linear unit root process against the alternative of a stationary exponential smooth transition autoregressive model. The asymptotic distribution of the test is shown to be nonstandard but nuisance parameter-free and hence critical values are obtained by simulations. Simulations show that the proposed statistic has considerable power under various data generating scenarios. Applications to real exchange rates also illustrate the ability of our test to reject null of unit root when some of the alternative tests do not.

Keywords: ESTAR model; Nonlinearity; Unit root (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/07474938.2011.553511

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