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  • GLS detrending in Sollis nonlinear unit root tests

    Author(s)
    Su, Jen-Je
    Nguyen, Jeremy
    Griffith University Author(s)
    Nguyen, Jeremy DK.
    Su, Jen-Je
    Year published
    2013
    Metadata
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    Abstract
    The Sollis (2009) nonlinear unit root test has been shown to possess attractive power properties, especially where the series being tested follows an Asymmetric Exponential Smooth Transition Autoregressive (AESTAR) process. In this article, we propose a modification of this test, namely, using GLS rather than OLS to detrend the relevant series. Simulation results indicate that, in general, the modified Sollis test is more powerful than the original test. An application to real GDP data for 20 OECD countries is provided.The Sollis (2009) nonlinear unit root test has been shown to possess attractive power properties, especially where the series being tested follows an Asymmetric Exponential Smooth Transition Autoregressive (AESTAR) process. In this article, we propose a modification of this test, namely, using GLS rather than OLS to detrend the relevant series. Simulation results indicate that, in general, the modified Sollis test is more powerful than the original test. An application to real GDP data for 20 OECD countries is provided.
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    Journal Title
    Applied Economics Letters
    Volume
    20
    Issue
    13
    DOI
    https://doi.org/10.1080/13504851.2013.802085
    Subject
    Time-Series Analysis
    Public Health and Health Services
    Applied Economics
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/55536
    Collection
    • Journal articles

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