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Title:GLS detrending for nonlinear unit root tests PDF Logo
Authors:Kapetanios, George
Shin, Yongcheol
Issue Date:2002
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 472
Abstract:This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of cases against both existing nonlinear unit root tests and standard unit root tests.
Subjects:Detrending, Nonlinear unit root tests, Nonlinearity, STAR models, SETAR models
JEL:C12
C22
F31
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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