Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
This paper investigates the finite-sample power of STAR-based unit root tests when the data generation process is a globally stationary three-regime TAR model. Unit root tests are proposed derived from STAR models that nest TAR models.
Year of publication: |
2011
|
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Authors: | Sollis, Robert |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 1, p. 19-22
|
Publisher: |
Elsevier |
Subject: | Unit roots Nonlinearity Power |
Saved in:
Online Resource
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