Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]
-run equilibrium
for a number of forward premium time series. Kapetanios and Shin (2000) developed and
analyzed the unit root test with … integrated the unit root test with nonlinear models with a smooth transition
between the regimes. Kapetanios, Shin and Snell … unit
root test against the logistic smooth transition autoregressive (LSTAR) model, allowing
for regime shift in both …