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The univariate MT-STAR model and a new linearity and unit root test procedure

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  • Addo, Peter Martey
  • Billio, Monica
  • Guégan, Dominique

Abstract

A novel procedure to test for linearity and unit root in a nonlinear framework is proposed by introducing a new model–the MT-STAR model–which has similar properties of the ESTAR model but reduces the effects of the identification problem and can also account for asymmetry in the adjustment mechanism towards equilibrium. The asymptotic distribution of the proposed unit root test is non standard and is derived. The power of the test is evaluated through a simulation study and some empirical illustrations on real exchange rates show its accuracy.

Suggested Citation

  • Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 4-19.
    • Handle: RePEc:eee:csdana:v:76:y:2014:i:c:p:4-19
    DOI: 10.1016/j.csda.2013.12.009
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    Cited by:

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    2. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    3. Peter Martey Addo, 2014. "Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input," Papers 1407.7738, arXiv.org.
    4. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.

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