Testing for a Unit Root in the Asymmetric Nonlinear Smooth Transition Framework


This paper proposes a simple testing procedure to detect the presence of nonlinear but global stationary logistic smooth transition autoregressive processes. This testing procedure nests the one developed by Kapetanios et al. (2003) that accommodates specifically the alternative of a global stationary ESTAR process. The present work makes a threefold… (More)


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