GLS detrending-based unit root tests in nonlinear STAR and SETAR models
We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts.
Year of publication: |
2008
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Authors: | Kapetanios, George ; Shin, Yongcheol |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 3, p. 377-380
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Publisher: |
Elsevier |
Saved in:
Online Resource
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