Allgemeines Statistisches Archiv

, Volume 90, Issue 3, pp 439–456 | Cite as

Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

  • Christoph Rothe
  • Philipp Sibbertsen


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.


Exponential smooth transition autoregressive model unit roots Monte Carlo simulations purchasing power parity 


C12 C32 


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Copyright information

© Physica-Verlag 2006

Authors and Affiliations

  • Christoph Rothe
    • 1
  • Philipp Sibbertsen
    • 2
  1. 1.Institute of Statistics Department of EconomicsUniversity of MannheimMannheim
  2. 2.Institute of Statistics Faculty of EconomicsUniversity of HannoverHannover

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