- Home
- Publications
- Testing For A Unit Root Against Nonlinear STAR Models
Testing for a Unit Root against Nonlinear STAR Models
External Authors
Y Shin and A Snell
Related Themes
Macro-Economic Modelling and ForecastingPaper Category Number
164
In this paper we propose a simple testing procedure to detect the presence of nonstationarity against nonlinear stationarity based on the Smooth Transition Autoregressive modelling approach. We provide an advance over the existing literature in three senses: first, we derive the limiting nonstandard distribution of the proposed NLADF tests; second, we establish the superior power performance of the NLADF test over the standard linear ADF test under the alternative of nonlinear stationarity via Monte Carlo simulation exercises; third we provide an application to ex post real interest rates from six major OECD countries, and find the NLADF test is able to reject a unit root in cases, whereas the linear ADF tests fail.
This paper is unavailable for download.
Related Blog Posts
What is the Current State of the UK Economy?
Paula Bejarano Carbo
Stephen Millard
26 Feb 2024
7 min read
CPI Inflation Rose in December 2023, But is Likely to Fall Below 3 per cent by May
Huw Dixon
17 Jan 2024
7 min read
Related Projects
Related News
Why it’s not worth worrying that the UK has technically entered a recession
26 Feb 2024
4 min read
1.2 million UK Households Insolvent This Year as a Direct Result of Higher Mortgage Repayments
22 Jun 2023
2 min read
The Key Steps to Ensuring Normal Service is Quickly Resumed in the Economy
13 Feb 2023
4 min read
Related Publications
The Nature of the Inflationary Surprise in Europe and the USA
21 Mar 2024
Discussion Papers
UK Economy on the Road to Recovery in 2024 Following the Mild Recession
13 Mar 2024
GDP Trackers