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http://hdl.handle.net/10419/62845
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| Title: | | GLS detrending for nonlinear unit root tests  |
| 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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