Testing for a unit root in the nonlinear STAR framework

DOI10.1016/S0304-4076(02)00202-6zbMath1027.62065MaRDI QIDQ1868973

Andy Snell, George Kapetanios, Yongcheol Shin

Publication date: 9 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationsUnit rootsExponential smooth transition autoregressive modelGlobally stationary nonlinear processesReal interest and exchange rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

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