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A unit root test against globally stationary ESTAR models when local condition is non-stationary

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  • Hu, Junjuan
  • Chen, Zhenlong

Abstract

This paper focuses on testing for the unit root hypothesis against local-explosive or local unit root but globally stationary ESTAR process. A modified Wald-type test for a joint hypothesis where one parameter is one-sided while the others are two-sided under the alternative is proposed. The asymptotic distribution of the test statistic is derived, which is shown to be a function of Brownian motions and does not depend on nuisance parameters. Critical values of the test are tabulated and some simulation results are reported. Results show that the modified Wald-type test performs well.

Suggested Citation

  • Hu, Junjuan & Chen, Zhenlong, 2016. "A unit root test against globally stationary ESTAR models when local condition is non-stationary," Economics Letters, Elsevier, vol. 146(C), pages 89-94.
    • Handle: RePEc:eee:ecolet:v:146:y:2016:i:c:p:89-94
    DOI: 10.1016/j.econlet.2016.07.002
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    References listed on IDEAS

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    3. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
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    7. Hanck, Christoph, 2012. "On the asymptotic distribution of a unit root test against ESTAR alternatives," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 360-364.
    8. Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J., 2010. "Modelling Nonlinear Economic Time Series," OUP Catalogue, Oxford University Press, number 9780199587155.
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    Cited by:

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    More about this item

    Keywords

    Unit root; Wald-type test; ESTAR models; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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