Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

Christoph Rothe and Philipp Sibbertsen

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence shows that the tests perform better than the standard Phillips-Perron or Dickey-Fuller tests in the region of the null.

Keywords: Exponential smooth transition autoregressive model; Unit roots; Monte Carlo simulations; Purchasing Power Parity (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-315.pdf (application/pdf)

Related works:
Journal Article: Phillips-Perron-type unit root tests in the nonlinear ESTAR framework (2006)
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