Linearity Test with Unit Root in TV-ESTAR Framework
DOI:
https://doi.org/10.54691/bcpbm.v13i.119Keywords:
Time Varying Exponential Smooth Transition Autoregressive Model; Structure Change; Unit Root; Linearity Test.Abstract
Firstly, this paper proposes F statistic whose limit distribution and critical values are also provided to test nonlinearity and structure change with unit root in TV-ESTAR model framework. The results show that the distribution of F statistic is nonstandard. Then, this paper analyzes finite sample characteristics of F statistics through the Monte Carlo simulation and founds F statistics has better power than kss statistics in Kapetanios et al to test nonlinear unit root with structure change.
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References
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