Smooth transitions, asymmetric adjustment and unit roots
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http://dx.doi.org/10.1080/13504851.2014.902016 |
Metadades
Títol
Smooth transitions, asymmetric adjustment and unit rootsData de publicació
2014Editor
Taylor & FrancisCita bibliogràfica
CUESTAS, J. C.; ORDÓÑEZ MONFORT, J. Smooth transitions, asymmetric adjustment and unit roots. Applied economics letters, v. 21, issue 14 (2014), pp. 969-972Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.tandfonline.com/doi/abs/10.1080/13504851.2014.902016#.VZpRhkVLrJwParaules clau / Matèries
Resum
The aim of this article is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion ... [+]
The aim of this article is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion is modelled by means of a exponential smooth transition autoregression (ESTAR) function for the autoregressive parameter, whereas structural changes are approximated by a smooth transition in the deterministic components. We find that the proposed test performs well in terms of size and power, in particular when the autoregressive parameter is near unity. [-]
Publicat a
Applied economics letters, v. 21, issue 14 (2014)Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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