Testing for a unit root in a stationary ESTAR process
提出一种检验线性单位根过程与平稳指数平滑转换自回归模型（ESTAR）的统计量，其渐近分布无冗余参数，模拟显示该检验在不同数据生成场景下具有较高功效，并应用于实际汇率数据。
This article develops a statistic for testing the null of a linear unit root process against the alternative of a stationary exponential smooth transition autoregressive model. The asymptotic distribution of the test is shown to be nonstandard but nuisance parameter-free and hence critical values are obtained by simulations. Simulations show that the proposed statistic has considerable power under various data generating scenarios. Applications to real exchange rates also illustrate the ability of our test to reject null of unit root when some of the alternative tests do not.