A New Modelling Test: The Univariate MT-STAR Model

Peter Martey Addo, Monica Billio and Dominique Guegan ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique.guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: A novel procedure to test for unit root in a nonlinear framework is proposed by first introducing a new model – the MT-STAR model – which has similar properties as the ESTAR model but reduces the effects of the identification problem and can also account for cases where the adjustment mechanism towards equilibrium is not symmetric. The limiting non-standard asymptotic distributions of the proposed unit root test is then derived. Finally, the power of the test is evaluated through a simulation study and some empirical illustrations are given at the end

Keywords: Nonlinearity; exponential smooth transition autoregressive model; unit roots; Monte Carlo simulations; real exchange rates (search for similar items in EconPapers)
JEL-codes: C12 C22 C58 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2011-12, Revised 2013-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2011/11083R.pdf (application/pdf)

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:mse:cesdoc:11083r

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().