GLS detrending in Sollis nonlinear unit root tests

References

• Chang , T. , Chang , H.-L. and Hung , K. 2012 . Nonlinear adjustment to purchasing power parity for Germany's real exchange rate relative to its major trading partners . Applied Economics Letters , 19 : 197 – 202 .
   Web of Science ®Google Scholar
• Dickey , D. and Fuller , W. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
   Web of Science ®Google Scholar
• Elliott , G. , Rothenberg , T. J. and Stock , J. H. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
   Web of Science ®Google Scholar
• Cuestas , J. C. and Staehr , K. 2013 . Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe . Applied Economics , 45 : 3211 – 19 .
   Web of Science ®Google Scholar
• Kapetanios , G. and Shin , Y. 2008 . GLS detrending-based unit root tests in nonlinear STAR and SETAR frameworks . Economics Letters , 100 : 377 – 80 .
   Web of Science ®Google Scholar
• Kapetanios , G. , Snell , A. and and Shin , Y. 2003 . Testing for unit root in the nonlinear STAR framework . Journal of Econometrics , 112 : 359 – 79 .
   Web of Science ®Google Scholar
• Ng , S. and Perron , P. 2001 . Lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1519 – 54 .
   Web of Science ®Google Scholar
• Sollis , R. 2009 . A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries . Economic Modelling , 26 : 118 – 25 .
   Web of Science ®Google Scholar