Nonlinearity and Smooth Breaks in Unit Root Testing

Omay T., Yıldırım Kasap D.

Econometrics Letters, cilt.1, sa.1, ss.1-8, 2014 (Hakemli Dergi)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 1 Sayı: 1
  • Basım Tarihi: 2014
  • Doi Numarası: 10.13140/rg.2.1.4569.6403
  • Dergi Adı: Econometrics Letters
  • Derginin Tarandığı İndeksler: EconLit
  • Sayfa Sayıları: ss.1-8
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

We develop unit root tests that allow under the alternative hypothesis for a smooth transition between deterministic linear trends, around which stationary asymmetric adjustment may occur by employing exponential smooth transition auto-regressive (ESTAR) models The small sample properties of the newly developed test are briefly investigated and an application for investigating the PPP hypothesis for Argentina is provided.