GLS Detrending for Nonlinear Unit Root Tests

George Kapetanios and Yongcheol Shin

No 472, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of cases against both existing nonlinear unit root tests and standard unit root tests.

Keywords: Detrending; Nonlinear unit root tests; Nonlinearity; STAR models; SETAR models (search for similar items in EconPapers)
JEL-codes: C12 C22 F31 (search for similar items in EconPapers)
Date: 2002-11-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:472

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