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An alternative procedure to test for cointegration in STAR models

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  • Maki, Daiki

Abstract

This paper proposes an alternative procedure to test for cointegration in smooth transition autoregressive (STAR) models. We consider the exponential STAR (ESTAR) and double logistic STAR (D-LSTAR) models. The proposed tests are t-tests with a null hypothesis of no cointegration and an alternative hypothesis of cointegration with STAR adjustment. The procedure introduced in this paper employs a grid search to compute a test statistic. Monte Carlo simulations demonstrate that as compared to other tests, the proposed approach has better power when the persistence of the process toward equilibrium and the sample size increase.

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  • Maki, Daiki, 2010. "An alternative procedure to test for cointegration in STAR models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(5), pages 999-1006.
    • Handle: RePEc:eee:matcom:v:80:y:2010:i:5:p:999-1006
    DOI: 10.1016/j.matcom.2009.12.003
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    9. Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017. "Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
    10. Daiki Maki, 2006. "Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1301-1307.
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    Cited by:

    1. Omay, Tolga & Hasanov, Mübariz & Uçar, Nuri, 2014. "Energy consumption and economic growth: Evidence from nonlinear panel cointegration and causality tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 36-55.
    2. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
    3. Omay, Tolga & Yuksel, Asli & Yuksel, Aydin, 2015. "An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 18-29.
    4. Tipoy Christian K. & Breitenbach Marthinus C. & Zerihun Mulatu F., 2018. "Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and granger causality tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-16, April.

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    Keywords

    Cointegration; ESTAR; D-LSTAR;
    All these keywords.

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