| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152367 | Statistics & Probability Letters | 2012 | 5 Pages |
Abstract
We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359–379] when nonzero means or both means and deterministic trends are accounted for. Some discrepancies to claims in Kapetanios et al. are discussed.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Christoph Hanck,