GLS Detrending for Nonlinear Unit Root Tests

U of London Queen Mary Economics Working Paper No. 472

28 Pages Posted: 15 Jan 2003

Date Written: November 2002

Abstract

This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of cases against both existing nonlinear unit root tests and standard unit root tests.

JEL Classification: C12, C22, F31

Suggested Citation

Kapetanios, George and Shin, Yongcheol, GLS Detrending for Nonlinear Unit Root Tests (November 2002). U of London Queen Mary Economics Working Paper No. 472, Available at SSRN: https://ssrn.com/abstract=358360 or http://dx.doi.org/10.2139/ssrn.358360

George Kapetanios (Contact Author)

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Yongcheol Shin

Independent

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