Testing for a unit root against ESTAR stationarity
In this paper we examine the local power of unit root tests against globally stationary exponential smooth transition autoregressive [ESTAR] alternatives under two sources of uncertainty: the degree of nonlinearity in the ESTAR model, and the presence of a linear deterministic trend. First, we show...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
De Gruyter
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/43064/ |