SSE/EFI Working Paper Series in Economics and Finance
Dickey-Fuller Type of Tests against Nonlinear Dynamic Models
() and Rickard Sandberg
Abstract: In this paper we introduce several test statistics of
testing the null hypotheses of a random walk (with or without drift)
against models that accommodate a smooth nonlinear shift in the level, the
dynamic structure, and the trend. We derive analytical limiting
distributions for all tests. Finite sample properties are examined. The
performance of the tests is compared to that of the classical unit root
tests by Dickey-Fuller and Phillips and Perron, and is found to be superior
in terms of power.
Keywords: Dickey-Fuller test; LSTAR(p); LSTART(p); Nonlinear trends; Parameter constancy; Unit root; Brownian motion; (follow links to similar papers)
JEL-Codes: C12; C22; C52; (follow links to similar papers)
37 pages, January 23, 2005
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