Testing for a unit root against transitional autoregressive models

• Autores: Joon Y. Park, Mototsugu Shintani
• Localización: International economic review, ISSN-e 1468-2354, Vol. 57, Nº. 2, 2016, págs. 635-664
• Idioma: inglés
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• Resumen

  • This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t-ratios for the coefficient of a parametrized transition function. Our test allows for very flexible specifications of the transition function and short-run dynamics and is significantly more powerful than all the other existing tests. Moreover, we develop a large sample theory general enough to deal with randomly drifting parameter spaces, which is essential to properly test for a unit root against stationary transitional models. An empirical application of our test to the exchange rate data is also provided.