Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66029
Authors: 
Heinen, Florian
Year of Publication: 
2011
Series/Report no.: 
Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 471
Abstract: 
We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk depends heavily on the type of data transformation.
Subjects: 
Unit roots
Misspecification
Nonlinear data transformation
Purchasing Power Parity
JEL: 
C12
C22
F31
Document Type: 
Working Paper

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