@article {Cook:2009:0003-6846:1397,
title = "Unit root testing against an ST-MTAR alternative: finite-sample properties and an application to the UK housing market",
journal = "Applied Economics",
parent_itemid = "infobike://routledg/raef",
publishercode ="routledg",
year = "2009",
volume = "41",
number = "11",
publication date ="2009-05-01T00:00:00",
pages = "1397-1404",
itemtype = "ARTICLE",
issn = "0003-6846",
eissn = "1466-4283",
url = "https://www.ingentaconnect.com/content/routledg/raef/2009/00000041/00000011/art00006",
doi = "doi:10.1080/00036840601019331",
author = "Cook, Steven and Vougas, Dimitrios",
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.",
}