A Unified Framework for Threshold Unit Root Testing with Asymmetric ESTAR Behavior

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Quantrade Journal of Complex Systems in Social Sciences
Cilt: 7 Sayı: 2
A Unified Framework for Threshold Unit Root Testing with Asymmetric ESTAR Behavior

A Unified Framework for Threshold Unit Root Testing with Asymmetric ESTAR Behavior

Authors : Atilla Hepkorucu

Pages : 114-128

View : 34 | Download : 112

Publication Date : 2025-12-31

Article Type : Research Paper

Abstract :In the context of the alternative hypothesis proposed by the exponential smooth transition autoregressive (ESTAR)nonlinear model, unit root tests serve similar objectives but differ in underlying assumptions across the literature. Various tests have been formulated to interpret the ESTAR framework under conditions of asymmetric and threshold effects. This study introduces a straightforward unit root test designed to assess the alternative hypothesis of asymmetric ESTAR nonlinearity with a threshold effect (〖AESTAR〗_C ). The asymptotic properties of the test statistics are established, followed by an evaluation of critical values, size, and power characteristics using Monte Carlo simulations. Based on the findings pertaining to size and power properties, the developed test demonstrates greater suitability than previous tests in scenarios involving asymmetric reversion and threshold effects. An empirical application of the proposed test is illustrated using methodologies described by Sollis (2009) and Kruse (2011).
Keywords : ESTAR, Doğrusaldışı zaman serileri, Birim Kök Testleri

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