On the asymptotic distribution of a unit root test against ESTAR alternatives |
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| Authors: | Christoph Hanck |
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| Institution: | University of Groningen, Faculty of Economics and Business, Netherlands |
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| Abstract: | We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359-379] when nonzero means or both means and deterministic trends are accounted for. Some discrepancies to claims in Kapetanios et al. are discussed. |
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| Keywords: | Unit root test ESTAR Asymptotic distribution Itô &rsquo s Lemma |
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