Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

摘要

In this paper, we propose Phillips-Perron type, semi-parametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence shows that the tests perform better than the standard Phillips-Perron or Dickey-Puller tests in the region of the null.