Makale detayı · 2021 · article
Testing for cointegration in nonlinear asymmetric smooth transition error correction models
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- YÖKSİSYÖKSİS makale kaydı
- YÖKSİS dergi adıCommunications in Statistics - Simulation and Computation
- Katalog eşleşmesi (ISSN)Communications in Statistics Part B: Simulation and Computation
- OpenAlexOpenAlex zenginleştirmesi (özet, atıf, konular)
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Özet
The present paper proposes an alternative procedure to test for cointegration in asymmetric exponential smooth transition autoregressive (AESTAR) model. The proposed new F-statistics test the null hypothesis of no cointegration against the alternative hypothesis of cointegration with asymmetric ESTAR adjustment. We derive the nonstandard limit distributions analytically via Monte Carlo simulations. We also study the finite sample properties and the power of proposed tests with Monte Carlo simulations and find that the empirical sizes of two tests are quite close to the nominal one and the proposed tests do not lead to over-rejections of the null hypothesis of no cointegration.
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