One of the most infl?uential research ?fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a...

SURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal...

A Wald type test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components is developed. Its limiting distribution is derived and its local power and finite sample properties investigated.

The financial crisis of 2008 quickly spread from the USA to the world's major economies and might have impacted on the persistence of unemployment. This might happen because the crisis ushered in recession to every country affected and, in the aftermath, most countries have pursued austerity...

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...

This paper proposes a simple direct testing procedure to distinguish a linear unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. We derive the asymptotic null distribution of the Wald statistic, and show that it does not depend on unknown...

In this paper we propose a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition autoregressive (STAR) process. We start from a general VAR model, embed the STAR error correction mechanism (ECM) and then derive the...

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...

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...

Based on either Monte Carlo simulations, or several examples based on actual data, I show that the ability of Johansen's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i ) when, in addition to a cointegration relationship,...