On the asymptotic distribution of a unit root test against ESTAR alternatives

Christoph Hanck

doi:10.1016/j.spl.2011.11.001

On the asymptotic distribution of a unit root test against ESTAR alternatives

Christoph Hanck^*

^*Corresponding author for this work

Economics, Econometrics and Finance

Research output: Contribution to journal › Article › Academic › peer-review

4 Citations (Scopus)

Abstract

We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework, journal of Econometrics 112, 359-379] when nonzero means or both means and deterministic trends are accounted for. Some discrepancies to claims in Kapetanios et al. are discussed. (C) 2011 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	360-364
Number of pages	5
Journal	Statistics & probability letters
Volume	82
Issue number	2
DOIs	https://doi.org/10.1016/j.spl.2011.11.001
Publication status	Published - Feb-2012

Keywords

Unit root test
ESTAR
Asymptotic distribution
Ito's Lemma
NONLINEAR STAR

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KW - Asymptotic distribution

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