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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%T Unit root testing against an ST-MTAR alternative: Finite-sample properties and an application to the UK housing market
%A Cook, S
%A Vougas, Dimitrios V
%J Applied Economics
%N 11
%P 1397-1404
%V 41
%D 2009
%= 2011-04-01T04:14:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241403
%X 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.
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info