How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes?

Econometrics Journal

Volumn 10, Issue 1, 2007, Pages 82-112

  Choi, Chi Young ^a   Moh, Young Kyu ^b  

^a UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

^b TULANE UNIVERSITY   (United States)

Author keywords

Monte Carlo simulation; Non linear dynamic models; The Fisher hypothesis; Unit root tests

Indexed keywords

EID: 33847647974     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2007.00200.x     Document Type: Article

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