Export für Ihre Literaturverwaltung

Übernahme per Copy & Paste
Bibtex-Export
Endnote-Export

       

Weiterempfehlen

Bookmark and Share


Unit root testing against an ST-MTAR alternative: Finite-sample properties and an application to the UK housing market

[Zeitschriftenartikel]

Cook, S; Vougas, Dimitrios V

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-241403

Weitere Angaben:
Abstract A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow testing of the unit root hypothesis against an alternative of asymmetric adjustment about a smooth non-linear trend. Monte Carlo simulation is employed to derive finite-sample critical values for the proposed test and illustrate its attractive power properties against a range of stationary alternatives. The empirical relevance of the ST-MTAR test is highlighted via an application to aggregate house price data for the UK. Interestingly, house prices are found to exhibit structural change characterised a fitted logistic smooth transition process, with the newly proposed ST-MTAR test providing the most significant results of the alternative smooth transition unit root tests available.
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 1397-1404
Zeitschriftentitel Applied Economics, 41 (2009) 11
DOI http://dx.doi.org/10.1080/00036840601019331
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
top