The univariate MT-STAR model and a new linearity and unit root test procedure

Abstract : A novel procedure to test for linearity and unit root in a nonlinear framework is proposed by introducing a new model–the MT-STAR model–which has similar properties of the ESTAR model but reduces the effects of the identification problem and can also account for asymmetry in the adjustment mechanism towards equilibrium. The asymptotic distribution of the proposed unit root test is non standard and is derived. The power of the test is evaluated through a simulation study and some empirical illustrations on real exchange rates show its accuracy.
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https://hal.archives-ouvertes.fr/hal-01310518
Contributeur : Umr 8174 Centre d'Économie de la Sorbonne <>
Soumis le : lundi 2 mai 2016 - 16:42:49
Dernière modification le : jeudi 4 octobre 2018 - 18:28:01

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Peter Martey Addo, Monica Billio, Dominique Guégan. The univariate MT-STAR model and a new linearity and unit root test procedure. Computational Statistics and Data Analysis, Elsevier, 2014, 76, pp.4-19. ⟨10.1016/j.csda.2013.12.009⟩. ⟨hal-01310518⟩

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