Article ID Journal Published Year Pages File Type
5061763 Economics Letters 2008 4 Pages PDF
Abstract

We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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GLS detrending-based unit root tests in nonlinear STAR and SETAR models
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