Unit Roots and Smooth Transitions: A Replication

Tamer Kulaksizoglu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper replicates Leybourne et al. (1998), who propose a Dickey-Fuller type test for unit root that is most appropriate when there is reason to suspect the possibility of deterministic structural change in the series. We find that our replicated results are quite similar to the authors' results. We also make the Ox source code available.

Keywords: Dickey-Fuller test; Integrated process; Nonlinear trend; Structural change (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2015-02-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:61867

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