TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS
提出一种基于参数化过渡函数t比率下确界的单位根检验方法，适用于一般过渡自回归模型，比现有检验更有效，并应用于汇率数据。
This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t ‐ratios for the coefficient of a parametrized transition function. Our test allows for very flexible specifications of the transition function and short‐run dynamics and is significantly more powerful than all the other existing tests. Moreover, we develop a large sample theory general enough to deal with randomly drifting parameter spaces, which is essential to properly test for a unit root against stationary transitional models. An empirical application of our test to the exchange rate data is also provided.