dc.contributor.author | Cook, S | de |
dc.contributor.author | Vougas, Dimitrios V | de |
dc.date.accessioned | 2011-04-01T04:14:00Z | de |
dc.date.accessioned | 2012-08-30T04:48:46Z | |
dc.date.available | 2012-08-30T04:48:46Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/24140 | |
dc.description.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. | en |
dc.language | en | de |
dc.title | Unit root testing against an ST-MTAR alternative: Finite-sample properties and an application to the UK housing market | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Applied Economics | de |
dc.source.volume | 41 | de |
dc.source.issue | 11 | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-241403 | de |
dc.date.modified | 2011-04-01T04:14:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | -1 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.source.pageinfo | 1397-1404 | |
internal.identifier.journal | 21 | de |
internal.identifier.document | 32 | |
dc.identifier.doi | https://doi.org/10.1080/00036840601019331 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |