A unit root test against globally stationary ESTAR models when local condition is non-stationary

被引：9
|
作者：
Hu, Junjuan [1 ,2 ]
Chen, Zhenlong [1 ]
机构：
[1] Zhejiang Gongshang Univ, Sch Math & Stat, Hangzhou 310018, Peoples R China
[2] Zhejiang Univ Sci & Technol, Sch Sci, Hangzhou 310023, Zhejiang, Peoples R China
来源：
ECONOMICS LETTERS | 2016年 / 146卷
关键词：
Unit root; Wald-type test; ESTAR models; Monte Carlo simulation; ALTERNATIVES;
D O I：
10.1016/j.econlet.2016.07.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper focuses on testing for the unit root hypothesis against local-explosive or local unit root but globally stationary ESTAR process. A modified Wald-type test for a joint hypothesis where one parameter is one-sided while the others are two-sided under the alternative is proposed. The asymptotic distribution of the test statistic is derived, which is shown to be a function of Brownian motions and does not depend on nuisance parameters. Critical values of the test are tabulated and some simulation results are reported. Results show that the modified Wald-type test performs well. (C) 2016 Elsevier B.V. All rights reserved.
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页码：89 / 94
页数：6
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