Article ID Journal Published Year Pages File Type
5060821 Economics Letters 2011 4 Pages PDF
Abstract
► This paper investigates the finite-sample power of STAR-based unit root tests. ► The data generation processes considered are globally stationary TAR models. ► Unit root tests are proposed derived from STAR models that nest TAR models. ► STAR-based tests are shown to be useful in this context.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
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