dc.contributor.author | Su, Jen-Je | |
dc.contributor.author | Nguyen, Jeremy | |
dc.date.accessioned | 2017-05-03T15:26:40Z | |
dc.date.available | 2017-05-03T15:26:40Z | |
dc.date.issued | 2013 | |
dc.date.modified | 2014-06-11T03:10:38Z | |
dc.identifier.issn | 13504851 | |
dc.identifier.doi | 10.1080/13504851.2013.802085 | |
dc.identifier.uri | http://hdl.handle.net/10072/55536 | |
dc.description.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. | |
dc.description.peerreviewed | Yes | |
dc.description.publicationstatus | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Routledge | |
dc.publisher.place | United Kingdom | |
dc.relation.ispartofstudentpublication | N | |
dc.relation.ispartofpagefrom | 1259 | |
dc.relation.ispartofpageto | 1262 | |
dc.relation.ispartofissue | 13 | |
dc.relation.ispartofjournal | Applied Economics Letters | |
dc.relation.ispartofvolume | 20 | |
dc.rights.retention | Y | |
dc.subject.fieldofresearch | Applied economics | |
dc.subject.fieldofresearch | Time-series analysis | |
dc.subject.fieldofresearch | Banking, finance and investment | |
dc.subject.fieldofresearchcode | 3801 | |
dc.subject.fieldofresearchcode | 380205 | |
dc.subject.fieldofresearchcode | 3502 | |
dc.title | GLS detrending in Sollis nonlinear unit root tests | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.faculty | Griffith Business School, Department of Accounting, Finance and Economics | |
gro.date.issued | 2013 | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Su, Jen-Je | |