GLS detrending-based unit root tests in nonlinear STAR and SETAR models

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 100
Issue: 3
Pages: 377-380

Authors (2)

Kapetanios, George (King's College London) Shin, Yongcheol (University of York)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

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Abstract

We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts.

Technical Details

RePEc Handle
repec:eee:ecolet:v:100:y:2008:i:3:p:377-380
Journal Field
General
Author Count
2
Added to Database
2026-01-25