GLS detrending in Sollis nonlinear unit root tests

By:

SU, Jen - Je

Contributor(s):

NGUYEN, Jeremy K

Material type: Text

TextSeries: Applied Economics Letters ; Volume , number ,New York Taylor & Springer 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

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Summary: 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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Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol.20 , No.13 - 15 (Oct 2013)	Not for loan	For In House Use Only

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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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