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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Diskussionsbeitrag ; No. 315
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Hypothesis Testing: General
- Subject
-
Exponential smooth transition autoregressive model
Unit roots
Monte Carlo simulations
Purchasing Power Parity
- Event
-
Geistige Schöpfung
- (who)
-
Rothe, Christoph
Sibbertsen, Philipp
- Event
-
Veröffentlichung
- (who)
-
Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
-
Hannover
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Rothe, Christoph
- Sibbertsen, Philipp
- Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2005
Other Objects (12)
A fixed-b perspective on the Phillips-Perron unit root tests
The Phillips unit root tests for polynomials of integrated processes
A new unit root test against ESTAR based on a class of modified statistics
Unit root testing
Spatial Unit Roots
Rank Tests for Unit Roots
Rank tests for unit roots
Unit roots and structural breaks
Decisions on Seasonal Unit Roots
Unit roots and structural breaks
Unit roots, change, and decision bounds
Unit roots and cointegration in panels
A fixed-b perspective on the Phillips-Perron unit root tests
The Phillips unit root tests for polynomials of integrated processes
A new unit root test against ESTAR based on a class of modified statistics
Unit root testing
Spatial Unit Roots
Rank Tests for Unit Roots
Rank tests for unit roots
Unit roots and structural breaks
Decisions on Seasonal Unit Roots
Unit roots and structural breaks
Unit roots, change, and decision bounds
Unit roots and cointegration in panels
A fixed-b perspective on the Phillips-Perron unit root tests
The Phillips unit root tests for polynomials of integrated processes
A new unit root test against ESTAR based on a class of modified statistics
Unit root testing
Spatial Unit Roots
Rank Tests for Unit Roots
Rank tests for unit roots
Unit roots and structural breaks
Decisions on Seasonal Unit Roots
Unit roots and structural breaks
Unit roots, change, and decision bounds