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- Publisher
- Springer Journals
- Copyright
- 2013 Japanese Economic Association
- ISSN
- 1352-4739
- eISSN
- 1468-5876
- DOI
- 10.1111/jere.12005
- Publisher site
- See Article on Publisher Site
Abstract
Abstract This paper proposes a new test for a unit root against an alternative of asymmetric exponential smooth transition autoregressive models, by extending the infimum test developed by Park and Shintani. Simulation results suggest that the test performs reasonably well in finite samples. The proposed test is also applied to real exchange rates to examine their asymmetric and nonlinear mean-reverting properties.
Journal
The Japanese Economic Review – Springer Journals
Published: Mar 1, 2013
Keywords: economics, general; microeconomics; macroeconomics/monetary economics//financial economics; econometrics; development economics; economic history