A new unit root test against ESTAR based on a class of modified statistics

@inproceedings{Kruse2008ANU,
  title={A new unit root test against ESTAR based on a class of modified statistics},
  author={Robinson Kruse},
  year={2008}
}
This paper proposes a new unit root test against a non-linear exponential smooth transition autoregressive (ESTAR) model. The new test is build upon the non-standard testing approach of Abadir and Distaso (2007) who introduce a class of modified statistics for testing joint hypotheses when one of the alternatives is one-sided. In a Monte Carlo study the popular Dickey-Fuller type test proposed by Kapetanios et al. (2003) is compared with the new test. The results suggest that the new test is… CONTINUE READING

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