THE INF-T TEST FOR A UNIT ROOT AGAINST ASYMMETRIC EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE MODELS

被引：7

作者：

Shintani, Mototsugu ^{[1
]}

机构：

[1] Vanderbilt Univ, Nashville, TN 37235 USA

来源：

JAPANESE ECONOMIC REVIEW | 2013年 / 64卷 / 01期

基金：

美国国家科学基金会;

关键词：

REAL EXCHANGE-RATES; NONLINEAR STAR FRAMEWORK; MEAN-REVERSION; ADJUSTMENT; MARKET; COSTS;

D O I：

10.1111/jere.12005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a new test for a unit root against an alternative of asymmetric exponential smooth transition autoregressive models, by extending the infimum test developed by Park and Shintani. Simulation results suggest that the test performs reasonably well in finite samples. The proposed test is also applied to real exchange rates to examine their asymmetric and nonlinear mean-reverting properties.

引用

页码：3 / 15

页数：13

共 23 条

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