Phillips-Perron-type unit root tests in the nonlinear ESTAR framework |
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| Authors: | Christoph Rothe and Philipp Sibbertsen |
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| Institution: | (1) Institute of Statistics Department of Economics, University of Mannheim, L7, 3-5, D-68131 Mannheim;(2) Institute of Statistics Faculty of Economics, University of Hannover, K?nigsworther Platz 1, D-30167 Hannover |
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| Abstract: | Summary In this paper, we propose Phillips-Perron type, semi-parametric testing procedures to distinguish a unit root process from
a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under
very general conditions and simulation evidence shows that the tests perform better than the standard Phillips-Perron or Dickey-Fuller
tests in the region of the null.
We would like to thank conference participants of the Pfingsttagung 2005 in Münster for their helpful comments. |
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| Keywords: | Exponential smooth transition autoregressive model unit roots Monte Carlo simulations purchasing power parity |
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