Details
| Original language | English |
|---|---|
| Pages (from-to) | 439-456 |
| Number of pages | 18 |
| Journal | Allgemeines Statistisches Archiv |
| Volume | 90 |
| Issue number | 3 |
| Publication status | Published - Sept 2006 |
Abstract
In this paper, we propose Phillips-Perron type, semi-parametric 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.
Keywords
- Exponential smooth transition autoregressive model, Monte Carlo simulations, Purchasing power parity, Unit roots
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
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In: Allgemeines Statistisches Archiv, Vol. 90, No. 3, 09.2006, p. 439-456.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
AU - Rothe, Christoph
AU - Sibbertsen, Philipp
PY - 2006/9
Y1 - 2006/9
N2 - In this paper, we propose Phillips-Perron type, semi-parametric 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.
AB - In this paper, we propose Phillips-Perron type, semi-parametric 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.
KW - Exponential smooth transition autoregressive model
KW - Monte Carlo simulations
KW - Purchasing power parity
KW - Unit roots
UR - http://www.scopus.com/inward/record.url?scp=33750148772&partnerID=8YFLogxK
U2 - 10.1007/s10182-006-0244-y
DO - 10.1007/s10182-006-0244-y
M3 - Article
AN - SCOPUS:33750148772
VL - 90
SP - 439
EP - 456
JO - Allgemeines Statistisches Archiv
JF - Allgemeines Statistisches Archiv
SN - 0002-6018
IS - 3
ER -