Testing for a unit root against ESTAR stationarity

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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...

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Bibliographic Details
Main Authors:	Harvey, David I., Leybourne, Stephen J., Whitehouse, Emily J.
Format:	Article
Published:	De Gruyter 2017
Subjects:	Nonlinearity; Trend uncertainty; Union of rejections
Online Access:	https://eprints.nottingham.ac.uk/43064/

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