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-Fuller tests in the region of the null.

References in zbMATH (referenced in 14 articles )

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  1. Kılıç, Rehim: Tests for linearity in star models: SupWald and LM-type tests (2016)
  2. Sandberg, Rickard: M-estimator based unit root tests in the ESTAR framework (2015)
  3. Demetrescu, Matei; Kruse, Robinson: The power of unit root tests against nonlinear local alternatives (2013)
  4. Kapetanios, George; Shin, Yongcheol: Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model (2011)
  5. Kılıç, Rehim: Testing for a unit root in a stationary ESTAR process (2011)
  6. Kruse, Robinson: A new unit root test against ESTAR based on a class of modified statistics (2011)
  7. Nicolau, João: Purchasing power parity analyzed through a continuous-time version of the ESTAR model (2011)
  8. Maki, Daiki: An alternative procedure to test for cointegration in STAR models (2010)
  9. Psaradakis, Zacharjas; Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola: Selecting nonlinear time series models using information criteria (2009)
  10. Ucar, Nuri; Omay, Tolga: Testing for unit root in nonlinear heterogeneous panels (2009)
  11. Xie, Ai-Gen; Li, Chuan-Qi; Wang, Tie-Bang; Pei, Yuan-Ji: The formulas for the secondary electron yield at high incident electron energy from gold and aluminum (2009)
  12. Adebile, O.A.; Shangodoyin, D.K.; Arnab, R.: Forecasting performance of logistic STAR model: an alternative version to the original LSTAR models (2006)
  13. Rothe, Christoph; Sibbertsen, Philipp: Phillips-Perron-type unit root tests in the nonlinear ESTAR framework (2006)
  14. Saunders, E.S.; Naylor, T.; Allan, A.: Metrics for agent observers (2006)