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Journals / Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2022 / Cilt: 17 - Sayı: 2

A New Unit Root Test Against LSTAR Nonlinearity without Threshold

Eşiksiz LSTAR Doğrusal-dışılığına Karşı Yeni Bir Birim Kök Testi

Atilla HEPKORUCU
Pages
311–326
Publication Date
2022-08-01
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Empirical application results show that the use of the test is appropriate under the relevant model structure.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this paper, a simple unit root test was proposed against the alternative of stationary LSTAR nonlinearity without a threshold effect.
📊
Key Findings & Data:The power of the developed test was compared with linear Dickey and Fuller (DF) (1979) and nonlinear Kapetanios, Shin and Snell (KSS) (2003) unit root tests.
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Conclusion & Impact:Empirical application results show that the use of the test is appropriate under the relevant model structure.
🔬Design:Modeling & Simulation
📍Scope:2003 Verileri
⚙️Variables:LSTAR model · Birim Kök Testi · Doğrusal-dışılık

Abstract

In this paper, a simple unit root test was proposed against the alternative of stationary LSTAR nonlinearity without a threshold effect. The critical values, size and power properties were examined with Monte Carlo simulations. The power of the developed test was compared with linear Dickey and Fuller (DF) (1979) and nonlinear Kapetanios, Shin and Snell (KSS) (2003) unit root tests. The developed test (F_(LSTAR,c=0) ) assumed that no-threshold effect is more suitable than the comparable ones. The empirical application of the test was carried out for industrial production data from OECD countries and Europe 1961(i) - 1986(iv). The data used in the application part has been chosen, because it is suitable for the LSTAR model structure. The contribution of the study to the literature is to obtain an alternative test mechanism that explains the unit root structure of time series LSTAR model structure without a threshold. Empirical application results show that the use of the test is appropriate under the relevant model structure.

Özet

Öz Çalışmada, eşik içermeyen durağan LSTAR doğrusal-dışı yapısı alternatifine karşı basit bir birim kök testi önerilmiştir. Monte Carlo simülasyonları ile kritik değerler, boyut ve güç özellikleri incelenmiştir. Geliştirilen testin gücü, doğrusal Dickey ve Fuller (DF) (1979) ve doğrusal olmayan Kapetanios, Shin ve Snell (KSS) (2003) birim kök testleri ile karşılaştırılmıştır. Eşik etkisi olmadığı varsayılarak geliştirilen test (F_(LSTAR,c=0) ), karşılaştırılanlara göre daha uygundur. Testin ampirik uygulaması OECD ülkeleri ve Avrupa 1961(i)-1986(iv) endüstriyel üretim verileri için yapılmıştır. Uygulama kısmında kullanılan veriler, LSTAR model yapısına uygun olduğu için seçilmiştir. Çalışmanın literatüre katkısı, eşiksiz LSTAR model yapısına sahip zaman serilerinin birim kök yapısını açıklayan alternatif bir test mekanizması elde etmektir. Ampirik uygulama sonuçları göstermektedir ki, testin kullanımı ilgili model yapısı altında uygundur.

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Cite This Article

HEPKORUCU, A. (2022). A New Unit Root Test Against LSTAR Nonlinearity without Threshold. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 17 - Sayı: 2, 311–326. https://ajindex.com/articles/664282

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