Arbeitspapier
GLS detrending for nonlinear unit root tests
This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of cases against both existing nonlinear unit root tests and standard unit root tests.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 472
- Classification
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
- Subject
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Detrending, Nonlinear unit root tests, Nonlinearity, STAR models, SETAR models
Unit Root Test
Methode der kleinsten Quadrate
Nichtlineares Verfahren
- Event
-
Geistige Schöpfung
- (who)
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Kapetanios, George
Shin, Yongcheol
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2002
- 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
- Kapetanios, George
- Shin, Yongcheol
- Queen Mary University of London, Department of Economics
Time of origin
- 2002
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