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摘要
This paper focuses on testing for the unit root hypothesis against local-explosive or local unit root but globally stationary ESTAR process. A modified Wald-type test for a joint hypothesis where one parameter is one-sided while the others are two-sided under the alternative is proposed. The asymptotic distribution of the test statistic is derived, which is shown to be a function of Brownian motions and does not depend on nuisance parameters. Critical values of the test are tabulated and some simulation results are reported. Results show that the modified Wald-type test performs well.
