Testing for a unit root in the nonlinear STAR framework

By George Kapetanios, Yongcheol Shin, Andy Snell. 2003

1,629 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8f95b2ffa3341f76673623b2c62ddd63006f415c

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In Economics and Econometrics

Citations in the corpus

Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, methodology): “Persistence can be determined by using unit root tests (e.g., Lee and Strazicich, 2003, 2004; Kapetanios et al., 2003; Bierens, 1997; Kwiatkowski et al., 1992; Phillips and Perron, 1988; Phillips, 1987).”
Are Asian Real Exchange Rates Stationary (2004, background): “Meanwhile, the 1, 5 and 10% asymptotic null critical values for both KSS tests are –3.48, –2.93 and –2.66 respectively (Kapetanios et al. 2003).”
The effects of uncertainty measures on the price of gold (2018, methodology): “Following Kapetanios et al. (2003), we can specify the model as such:”
Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis (2018, background): “Recently, Li and Park (2016) combined the nonlinear unit root test of Kapetanios et al. (2003) with the quantile unit root test of Koenker and Xiao (2004) to enable nonlinearity and”
Testing for unit root in nonlinear heterogeneous panels (2009, methodology): “By using the nonlinear time series framework Kapetanios et al. (2003), hereafter KSS, and the panel unit root testing framework of Im et al. (2003), hereafter IPS, this paper proposes unit root tests for nonlinear heterogeneous panels.”
More Powerful Unit Root Tests with Non-normal Errors (2014, neutral): “KSS denotes the test of Kapetanios et al. (2003) based on the ESTAR model.”
ADL tests for threshold cointegration (2010, positive): “Similar evidence of nonlinear asymmetric behaviour is found in a growing number of studies for many economic time series; see Balke and Wohar (1998), Sephton (2003) and Michael et al. (1997), among others.”