Cuestas, Juan Carlos; Ordóñez, Javier - In: Applied Economics Letters 21 (2014) 14, pp. 969-972
The aim of this article is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion is modelled by means of a exponential smooth transition autoregression...