Nonlinearity and Smooth Breaks in Unit Root Testing
Econometrics Letters, vol.1, no.1, pp.1-8, 2014 (Peer-Reviewed Journal)
- Publication Type: Article / Article
- Volume: 1 Issue: 1
- Publication Date: 2014
- Doi Number: 10.13140/rg.2.1.4569.6403
- Journal Name: Econometrics Letters
- Journal Indexes: EconLit
- Page Numbers: pp.1-8
- Middle East Technical University Affiliated: Yes
Abstract
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.