The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications (Q2476609)
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scientific article; zbMATH DE number 5248418
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| English | The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications |
scientific article; zbMATH DE number 5248418 |
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The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications (English)
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12 March 2008
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Variance ratio unit root tests
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TAR
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STAR
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Size distortion
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Low power
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Yield spread
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0.9269257
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0.9043263
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0.8992359
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0.88995636
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0.88525474
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0.88508797
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0.8833217
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0.8827562
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