A unit root test based on smooth transitions and nonlinear adjustment
Aycan Hepsag ()
MPRA Paper from University Library of Munich, Germany
In this paper, we develop a new unit root testing procedure which considers jointly for structural breaks and nonlinear adjustment. The structural breaks are modeled by means of a logistic smooth transition function and nonlinear adjustment is modeled by means of an ESTAR model. The empirical size of test is quite close to the nominal one and in terms of power, the new unit root test is generally superior to the alternative test.
Keywords: Smooth Transition; nonlinearity; unit root; ESTAR (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/81788/1/MPRA_paper_81788.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/83429/9/MPRA_paper_83429.pdf revised version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:81788
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().