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The aim of this paper is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion is modeled by means of a exponential smooth transition autoregression (ESTAR) function for the autoregressive parameter, whereas structural changes are approximated by a smooth transition in the deterministic components. We find that the proposed test performs well in terms of size and power, in particular when the autoregressive parameter is close to one.

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White Rose Research Online  

Autor(es)

Cuestas, J.C. -  Ordóñez, J. - 

Id.: 55259475

Versión: 1.0

Estado: Final

Tipo:  text - 

Tipo de recurso: Monograph  -  NonPeerReviewed  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

Formatos:  text - 

Requerimientos técnicos:  Browser: Any - 

Relación: [References] http://www.shef.ac.uk/economics/research/serps/year
[References] http://eprints.whiterose.ac.uk/43892/

Fecha de contribución: 20-feb-2016

Contacto:

Localización:
* Cuestas, J.C. and Ordóñez, J. (2012) Smooth transitions, asymmetric adjustment and unit roots. Working Paper. Sheffield Economic Research Paper Series . Department of Economics, University of Sheffield ISSN 1749-8368

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