Nonlinearity and Smooth Breaks in Unit Root Testing
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.