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
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: Suggested Citation