Addo, Peter Martey; Billio, Monica; Guégan, Dominique - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 4-19
A novel procedure to test for linearity and unit root in a nonlinear framework is proposed by introducing a new model–the MT-STAR model–which has similar properties of the ESTAR model but reduces the effects of the identification problem and can also account for asymmetry in the adjustment...