Omay, Tolga; Hasanov, Mubariz; Emirmahmutoglu, Furkan - Volkswirtschaftliche Fakultät, … - 2014
In this study, we propose a new unit root test procedure that allows for both gradual structural break and asymmetric nonlinear adjustment towards the equilibrium level. Small-sample properties of the new test are examined through Monte-Carlo simulations. The simulation results suggest that the...