Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries*
使用非线性替代假设的单位根检验，分析拉丁美洲和加勒比国家政府债务的可持续性，发现考虑非线性均值回归后可持续性显著改善，且不同检验结果虽大体一致但不完全相同，提示依赖单一检验可能产生误导。
Abstract We analyse the sustainability of government debt for Latin American and Caribbean countries employing unit‐root tests with nonlinear alternative hypotheses and examine the robustness of our results against those from unit‐root tests with breaks and threshold nonlinearities. We show that, in general support for sustainability substantially improves when nonlinear mean reversion is taken into account. We also find that the results obtained from applying various tests with nonlinear alternatives, although broadly consistent, are not identical. This suggests that reliance on a single unit‐root test for assessing fiscal policy sustainability may be misleading.