TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS

• 成果类型: Article
• 署名作者: Park, Joon Y.; Shintani, Mototsugu
• 署名单位: Indiana University System; Indiana University Bloomington; Sungkyunkwan University (SKKU); University of Tokyo; Vanderbilt University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12171
• 发表日期: 2016
• 页码: 635-663
• 关键词: real exchange-rates; nonlinear mean-reversion; integrated time-series; threshold autoregression; adjustment; specification; asymptotics

摘要

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.