GLS detrending in Sollis nonlinear unit root tests

被引：2
|
作者：
Su, Jen-Je [1 ]
Nguyen, Jeremy K. [2 ]
机构：
[1] Griffith Univ, Dept Accounting, Brisbane, Qld 4111, Australia
[2] Griffith Univ, Brisbane, Qld 4111, Australia
来源：
APPLIED ECONOMICS LETTERS | 2013年 / 20卷 / 13期
关键词：
exponential smooth transition autoregressive model; unit root; asymmetry; real GDP; C12; C32; STAR; COUNTRIES; POWER;
D O I：
10.1080/13504851.2013.802085
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The Sollis (2009) nonlinear unit root test has been shown to possess attractive power properties, especially where the series being tested follows an Asymmetric Exponential Smooth Transition Autoregressive (AESTAR) process. In this article, we propose a modification of this test, namely, using GLS rather than OLS to detrend the relevant series. Simulation results indicate that, in general, the modified Sollis test is more powerful than the original test. An application to real GDP data for 20 OECD countries is provided.
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页码：1259 / 1262
页数：4
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