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dc.contributor.authorSu, Jen-Je
dc.contributor.authorNguyen, Jeremy
dc.date.accessioned2017-05-03T15:26:40Z
dc.date.available2017-05-03T15:26:40Z
dc.date.issued2013
dc.date.modified2014-06-11T03:10:38Z
dc.identifier.issn13504851
dc.identifier.doi10.1080/13504851.2013.802085
dc.identifier.urihttp://hdl.handle.net/10072/55536
dc.description.abstractThe 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.publisher.placeUnited Kingdom
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom1259
dc.relation.ispartofpageto1262
dc.relation.ispartofissue13
dc.relation.ispartofjournalApplied Economics Letters
dc.relation.ispartofvolume20
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchTime-series analysis
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode380205
dc.subject.fieldofresearchcode3502
dc.titleGLS detrending in Sollis nonlinear unit root tests
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.date.issued2013
gro.hasfulltextNo Full Text
gro.griffith.authorSu, Jen-Je


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