TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS.
This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t-ratios for the coefficient of a parametrized transition function. Our test allows for very flexible specifications of the transition function and short-run dynamics an...
| Publicado en: | International Economic Review Vol. 57; no. 2; pp. 635 - 665 |
|---|---|
| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
May2016
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=114884814&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 114884814 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00206598 IER jtl: International Economic Review issn: 00206598 maglogo: Y pubinfo: dt: May2016 vid: 57 iid: 2 pid: 480 pub: Wiley-Blackwell artinfo: ui: 114884814 10.1111/iere.12171 ppf: 635 ppct: 30 formats: tig: atl: TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS. aug: au: Park, Joon Y. Shintani, Mototsugu affil: Indiana University, U.S.A., and Sungkyunkwan University, Korea University of Tokyo, Japan, and Vanderbilt University, U.S.A. su: Autoregression (Statistics) Regression analysis Numerical analysis Finite difference method Extrapolation sug: subj: Autoregression (Statistics) Regression analysis Numerical analysis Finite difference method Extrapolation ab: This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t-ratios for the coefficient of a parametrized transition function. Our test allows for very flexible specifications of the transition function and short-run dynamics and is significantly more powerful than all the other existing tests. Moreover, we develop a large sample theory general enough to deal with randomly drifting parameter spaces, which is essential to properly test for a unit root against stationary transitional models. An empirical application of our test to the exchange rate data is also provided. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
|---|