Cuestas, J.C. and Ordóñez, J. (2014) Smooth transitions, asymmetric adjustment and unit roots. Applied Economics Letters, 21 (14). ISSN 1466-4291
Abstract
The aim of this article is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion is modelled by means of a exponential smooth transition autoregression (ESTAR) function for the autoregressive parameter, whereas structural changes are approximated by a smooth transition in the deterministic components. We find that the proposed test performs well in terms of size and power, in particular when the autoregressive parameter is near unity.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2014 Taylor & Francis. This is an author produced version of a paper subsequently published in Applied Economics Letters. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | unit roots, nonlinear trends, exponential smooth transition autoregressive model, structural change, C12, C32 |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 12 Jan 2015 11:25 |
Last Modified: | 02 Nov 2015 22:02 |
Published Version: | http://dx.doi.org/10.1080/13504851.2014.902016 |
Status: | Published |
Publisher: | Taylor & Francis (Routledge) |
Identification Number: | 10.1080/13504851.2014.902016 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:82772 |