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On the power of point optimal tests of the trend stationarity hypothesis

✍ Scribed by Jaeyoun Hwang; Peter Schmidt

Book ID: 116101627
Publisher: Elsevier Science
Year: 1993
Tongue: English
Weight: 358 KB
Volume: 43
Category: Article
ISSN: 0165-1765
DOI: 10.1016/0165-1765(93)90027-a

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## Abstract Recent research has found that trend‐break unit root tests derived from univariate linear models do not support the hypothesis of long‐run purchasing power parity (PPP) for US dollar real exchange rates. In this paper univariate smooth transition models are utilized to develop unit root