Smooth transitions, asymmetric adjustment and unit roots
Metadatos
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http://dx.doi.org/10.1080/13504851.2014.902016 |
Metadatos
Título
Smooth transitions, asymmetric adjustment and unit rootsFecha de publicación
2014Editor
Taylor & FrancisCita bibliográfica
CUESTAS, J. C.; ORDÓÑEZ MONFORT, J. Smooth transitions, asymmetric adjustment and unit roots. Applied economics letters, v. 21, issue 14 (2014), pp. 969-972Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.tandfonline.com/doi/abs/10.1080/13504851.2014.902016#.VZpRhkVLrJwPalabras clave / Materias
Resumen
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. [-]
Publicado en
Applied economics letters, v. 21, issue 14 (2014)Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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