ABSTRACT
This article proposes a new F-type unit test in the exponential smooth transition autoregressive framework. We derive the asymptotic nonstandard distribution of the proposed test and explore its finite sample properties; simulation results show our test has greater power than the tkss test proposed by Kapetanios et al.(2003). Finally, an application on the real exchange rates further underpins its superiority.
Disclosure statement
No potential conflict of interest was reported by the authors.
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Notes
1 Detailed proofs for the asymptotic theory of and in this article are available in the supplemental files.