The univariate MT-STAR model and a new linearity and unit root test procedure

Peter Martey Addo (), Monica Billio and Dominique Guegan ()
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Peter Martey Addo: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: A novel procedure to test for linearity and unit root in a nonlinear framework is proposed by introducing a new model–the MT-STAR model–which has similar properties of the ESTAR model but reduces the effects of the identification problem and can also account for asymmetry in the adjustment mechanism towards equilibrium. The asymptotic distribution of the proposed unit root test is non standard and is derived. The power of the test is evaluated through a simulation study and some empirical illustrations on real exchange rates show its accuracy.

Keywords: Nonlinearity; Exponential smooth transition autoregressive model; Unit roots; Monte Carlo simulations; Real exchange rates (search for similar items in EconPapers)
Date: 2014-08
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Published in Computational Statistics and Data Analysis, 2014, 76, pp.4-19. ⟨10.1016/j.csda.2013.12.009⟩

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Related works:
Journal Article: The univariate MT-STAR model and a new linearity and unit root test procedure (2014)
Working Paper: The univariate MT-STAR model and a new linearity and unit root test procedure (2014)
Working Paper: The univariate MT-STAR model and a new linearity and unit root test procedure (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01310518

DOI: 10.1016/j.csda.2013.12.009

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