TY - JOUR
T1 - On the asymptotic distribution of a unit root test against ESTAR alternatives
AU - Hanck, Christoph
PY - 2012/2
Y1 - 2012/2
N2 - 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.
AB - 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.
KW - Unit root test
KW - ESTAR
KW - Asymptotic distribution
KW - Ito's Lemma
KW - NONLINEAR STAR
U2 - 10.1016/j.spl.2011.11.001
DO - 10.1016/j.spl.2011.11.001
M3 - Article
SN - 0167-7152
VL - 82
SP - 360
EP - 364
JO - Statistics & probability letters
JF - Statistics & probability letters
IS - 2
ER -