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Smooth transitions, asymmetric adjustment and unit roots
dc.contributor.author | Cuestas, Juan Carlos | |
dc.contributor.author | Ordóñez, Javier | |
dc.date.accessioned | 2015-07-06T10:09:59Z | |
dc.date.available | 2015-07-06T10:09:59Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | CUESTAS, J. C.; ORDÓÑEZ MONFORT, J. Smooth transitions, asymmetric adjustment and unit roots. Applied economics letters, v. 21, issue 14 (2014), pp. 969-972 | ca_CA |
dc.identifier.uri | http://hdl.handle.net/10234/126286 | |
dc.description.abstract | 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. | ca_CA |
dc.format.extent | 969-972 | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Taylor & Francis | ca_CA |
dc.relation.isPartOf | Applied economics letters, v. 21, issue 14 (2014) | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/CNE/1.0/ | * |
dc.subject | Unit roots | ca_CA |
dc.subject | Nonlinear trends | ca_CA |
dc.subject | Exponential smooth transition autoregressive model | ca_CA |
dc.subject | Structural change | ca_CA |
dc.subject | C12 | ca_CA |
dc.subject | C32 | ca_CA |
dc.title | Smooth transitions, asymmetric adjustment and unit roots | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://dx.doi.org/10.1080/13504851.2014.902016 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.relation.publisherVersion | http://www.tandfonline.com/doi/abs/10.1080/13504851.2014.902016#.VZpRhkVLrJw | ca_CA |
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