Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 112
Issue: 1
Pages: 19-22

Authors (1)

Sollis, Robert (Newcastle University)

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

This paper investigates the finite-sample power of STAR-based unit root tests when the data generation process is a globally stationary three-regime TAR model. Unit root tests are proposed derived from STAR models that nest TAR models.

Technical Details

RePEc Handle
repec:eee:ecolet:v:112:y:2011:i:1:p:19-22
Journal Field
General
Author Count
1
Added to Database
2026-01-29