A new unit root test based on F-statistic in ESTAR framework

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 t_kss test proposed by Kapetanios et al.(2003). Finally, an application on the real exchange rates further underpins its superiority.

KEYWORDS:

• Unit root test
• nonlinearity
• ESTAR
• real exchange rates

JEL CLASSIFICATION:

• C22
• F31

Disclosure statement

No potential conflict of interest was reported by the authors.

Supplemental data

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Notes

¹ Detailed proofs for the asymptotic theory of and in this article are available in the supplemental files.

Additional information

Funding

This work was supported by the National Natural Science Foundation of China [71671070]