articleJournal of EconometricsDec 10, 2002Closed access

Testing for a unit root in the nonlinear STAR framework

GKGeorge KapetaniosYSYongcheol ShinASAndy Snell

Queen Mary University of London · University of Edinburgh

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Topics
Keywords
  • Unit root
  • Autoregressive model
  • Mean reversion
  • Nonlinear system
  • Monte Carlo method
  • Econometrics
  • Null hypothesis
  • Unit root test
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