Resumen de Testing for a unit root against transitional autoregressive models

Joon Y. Park, Mototsugu Shintani

• 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.