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摘要
This article proposes a new F-type unit test in the exponential smooth transition autoregressive framework. We derive the asymptotic nonstandard distribution of the proposed test and explore its finite sample properties; simulation results show our test has greater power than the t(kss) test proposed by Kapetanios et al.(2003). Finally, an application on the real exchange rates further underpins its superiority.
- 出版日期2017
- 单位华中科技大学
