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Applied Economics Letters Volume 24, 2017 - Issue 19
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Article

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

Shaoping WangSchool of Economics, Huazhong University of Science and Technology, Wuhan, ChinaView further author information
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Jiyu YuSchool of Economics, Huazhong University of Science and Technology, Wuhan, ChinaCorrespondence[email protected]
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Pages 1412-1416 | Published online: 30 Jan 2017

Reference

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  • Granger, C. W. J., and T. Teräsvirta. 1993. Modelling Nonlinear Economic Relationships. Oxford: Oxford University Press.
  • Gregoriou, A., and A. Kontonikas. 2009. “Modeling the Behaviour of Inflation Deviations from the Target.” Economic Modelling 26 (1): 90–95. doi:10.1016/j.econmod.2008.05.003.
  • Kapetanios, G., Y. Shin, and A. Snell. 2003. “Testing for a Unit Root in the Nonlinear STAR Framework.” Journal of Econometrics 112: 359–379. doi:10.1016/S0304-4076(02)00202-6.
  • Kılıç, R. 2011. “Testing for a Unit Root in a Stationary ESTAR Process.” Econometric Reviews 30 (3): 274–302. doi:10.1080/07474938.2011.553511.
  • Rapach, D. E., and M. E. Wohar. 2006. “The Out-Of-Sample Forecasting Performance of Nonlinear Models of Real Exchange Rate Behavior.” International Journal of Forecasting 22: 341–361. doi:10.1016/j.ijforecast.2005.09.006.
  • Sandberg, R. 2014. “M-Estimator Based Unit Root Tests in the ESTAR Framework.” Statistical Papers 56: 1–21.
  • Teräsvirta, T. 1994. “Specification, Estimation And Evaluation Of Smooth Transition Autoregressive Models.” Journal Of The American Statistical Association 89: 208–218. doi:10.1080/01621459.1994.10476462.

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