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?: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 non-linear 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 characterised 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. (xsd:string)
?:contributor
?:dateModified
  • 2009 (xsd:gyear)
?:datePublished
  • 2009 (xsd:gyear)
?:doi
  • 10.1080/00036840601019331 ()
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  • true (xsd:boolean)
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?:inLanguage
  • en (xsd:string)
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?:issueNumber
  • 11 (xsd:string)
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?:name
  • Unit root testing against an ST-MTAR alternative: Finite-sample properties and an application to the UK housing market (xsd:string)
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?:publicationType
  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
?:sourceInfo
  • GESIS-SSOAR (xsd:string)
  • In: Applied Economics, 41, 2009, 11, 1397-1404 (xsd:string)
rdf:type
?:url
?:urn
  • urn:nbn:de:0168-ssoar-241403 ()
?:volumeNumber
  • 41 (xsd:string)