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

Cook, S; Vougas, Dimitrios V

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@article{ Cook2009,
 title = {Unit root testing against an ST-MTAR alternative: Finite-sample properties and an application to the UK housing market},
 author = {Cook, S and Vougas, Dimitrios V},
 journal = {Applied Economics},
 number = {11},
 pages = {1397-1404},
 volume = {41},
 year = {2009},
 doi = {https://doi.org/10.1080/00036840601019331},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241403},
 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.},
}