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

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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.

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We would like to thank conference participants of the Pfingsttagung 2005 in Münster for their helpful comments.

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Rothe, C., Sibbertsen, P. Phillips-Perron-type unit root tests in the nonlinear ESTAR framework. Allgemeines Statistisches Arch 90, 439–456 (2006). https://doi.org/10.1007/s10182-006-0244-y

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Keywords

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

JEL

  • C12
  • C32