Skip to main content

Unit root testing against an ST-MTAR alternative: finite-sample properties and an application to the UK housing market

Buy Article:

$53.17 plus tax (Refund Policy)

Abstract:

A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow testing of the unit root hypothesis against an alternative of asymmetric adjustment about a smooth nonlinear trend. Monte-Carlo simulation is employed to derive finite-sample critical values for the proposed test and illustrate its attractive power properties against a range of stationary alternatives. The empirical relevance of the ST-MTAR test is highlighted via an application to aggregate house price data for the UK. Interestingly, house prices are found to exhibit structural change characterized a fitted logistic smooth transition process, with the newly proposed ST-MTAR test providing the most significant results of the alternative smooth transition unit root tests available.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840601019331

Affiliations: Department of Economics, School of Business and Economics, University of Wales Swansea, Singleton Park, Swansea, SA2 8PP

Publication date: May 1, 2009

More about this publication?
routledg/raef/2009/00000041/00000011/art00006
dcterms_title,dcterms_description,pub_keyword
6
5
20
40
5

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more