This paper proposes an alternative procedure to test for cointegration in smooth transition autoregressive (STAR) models. We consider the exponential STAR (ESTAR) and double logistic STAR (D-LSTAR) models. The proposed tests are t-tests with a null hypothesis of no cointegration and an...

This paper investigates the small sample properties of a unit root test under the framework of multiple level shifts when time series variables are I(1) or I(0) processes with Markov level shifts. In order to investigate these properties, we introduce a unit root test with multiple level shifts....