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

Christoph Hanck*

*Bijbehorende auteur voor dit werk

OnderzoeksoutputAcademicpeer review

4 Citaten (Scopus)


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.

Originele taal-2English
Pagina's (van-tot)360-364
Aantal pagina's5
TijdschriftStatistics & probability letters
Nummer van het tijdschrift2
StatusPublished - feb.-2012

Citeer dit