Unit Root Test against ESTAR with Deterministic Components

Tsai-Yin Lin ； Chih-Hsien Lo

《Asia Pacific Management Review》 20卷1期 (2015/03) Pp. 44-47

並列摘要

This article intends to notify that asymptotic distributions of the nonlinear unit root test statistics must be rigorously treated if deterministic components are included in the estimated regression. The simple inductive argument of replacing the standard Brownian motion by either the demeaned or demeaned and detrended ones usually adopted in the literature is invalid. New results on the asymptotic distributions of the t-ratio to test the null of the unit root against the nonlinear exponential smooth transition autoregressive (ESTAR) with deterministic components are provided.

並列關鍵字

Deterministic components ； Exponential smooth transition ； autoregressive ； Unit root test

參考文獻

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