Testing for a unit root in the nonlinear STAR framework

Journal of Econometrics

Volumn 112, Issue 2, 2003, Pages 359-379

  Kapetanios, George ^a   Shin, Yongcheol ^b   Snell, Andy ^b  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b UNIVERSITY OF EDINBURGH   (United Kingdom)

Author keywords

Exponential smooth transition autoregressive model; Globally stationary nonlinear processes; Monte Carlo simulations; Real interest and exchange rates; Unit roots

Indexed keywords

COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; NONLINEAR SYSTEMS;

ASYMPTOTIC DISTRIBUTIONS; THRESHOLD AUTOREGRESSION (TAR) MODELS;

REGRESSION ANALYSIS;

EID: 0346724400     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00202-6     Document Type: Article

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