Testing for a Unit Root against Nonlinear STAR Models

George Kapetanios, Yongcheol Shin and Andy Snell

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

Abstract: exponential smooth transition autoregressive model, nonlinearity, unit root statistics, critical values, Monte Carlo values, Monte Carlo simulation, real interest rates

Keywords: exponential smooth transition autoregressive model; nonlinearity; unit root statistics; critical values; Monte Carlo values; Monte Carlo simulation; real interest rates (search for similar items in EconPapers)
JEL-codes: C12 C13 C32 (search for similar items in EconPapers)
Pages: 17
Date: 2000-03
New Economics Papers: this item is included in nep-dev, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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http://www.econ.ed.ac.uk/papers/id69_esedps.pdf

Related works:
Working Paper: Testing for a Unit Root against Nonlinear STAR Models (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:edn:esedps:69

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