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

被引：4

作者：

Hanck, Christoph ^{[1
]}

机构：

[1] Univ Groningen, Fac Econ & Business, NL-9700 AB Groningen, Netherlands

来源：

STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 02期

关键词：

Unit root test; ESTAR; Asymptotic distribution; Ito's Lemma; NONLINEAR STAR;

D O I：

10.1016/j.spl.2011.11.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：360 / 364

页数：5

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