GLS detrending-based unit root tests in nonlinear STAR and SETAR models |
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| Authors: | George Kapetanios Yongcheol Shin |
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| Institution: | aQueen Mary, University of London, United Kingdom;bLeeds University Business School, United Kingdom |
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| Abstract: | We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts. |
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| Keywords: | Unit root tests STAR and SETAR models GLS detrending |
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