On the asymptotic distribution of a unit root test against ESTAR alternatives

Hanck, Christoph

Publication date

February 2012

DOI

10.1016/j.spl.2011.11.001

Abstract

We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework, journal of Econometrics 112, 359-379] when nonzero means or both means and deterministic trends are accounted for. Some discrepancies to claims in Kapetanios et al. are discussed. (C) 2011 Elsevier B.V. All rights reserved.</p

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On the asymptotic distribution of a unit root test against ESTAR alternatives

Abstract

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On the asymptotic distribution of a unit root test against ESTAR alternatives

Abstract

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