Arbeitspapier
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
In this paper, we propose Phillips-Perron type, semiparametric 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 315
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Hypothesis Testing: General
- Thema
-
Exponential smooth transition autoregressive model
Unit roots
Monte Carlo simulations
Purchasing Power Parity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rothe, Christoph
Sibbertsen, Philipp
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Rothe, Christoph
- Sibbertsen, Philipp
- Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2005
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