EconPapers    
Economics at your fingertips  
 

TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS

Joon Y. Park and Mototsugu Shintani

International Economic Review, 2016, vol. 57, issue 2, 635-664

Abstract: This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t‐ratios for the coefficient of a parametrized transition function. Our test allows for very flexible specifications of the transition function and short‐run dynamics and is significantly more powerful than all the other existing tests. Moreover, we develop a large sample theory general enough to deal with randomly drifting parameter spaces, which is essential to properly test for a unit root against stationary transitional models. An empirical application of our test to the exchange rate data is also provided.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/iere.12171

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:iecrev:v:57:y:2016:i:2:p:635-664

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598

Access Statistics for this article

International Economic Review is currently edited by Michael O'Riordan and Dirk Krueger

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-20
Handle: RePEc:wly:iecrev:v:57:y:2016:i:2:p:635-664