Unit roots and double smooth transitions

David I. Harvey, Terence C. Mills
2002 Journal of Applied Statistics  
Techniques for testing the null hypothesis of diþ erence stationarity against stationarity around some deterministic function have received much attention. In particular, unit root tests where the alternative is stationarity around a smooth transition in a linear trend have recently been proposed to permit the possibility of non-instantaneous structural change. In this paper we develop tests extending such an approach in order to admit more than one structural change. The analysis is motivated
more » ... lysis is motivated by time series that appear to undergo two smooth transitions in the linear trend, and the application of the new tests to two such series (average global temperature and US consumer prices) highlights the bene® ts of this double transition extension.
doi:10.1080/02664760120098739 fatcat:3fkrmoxpmva6pas4qmlou3pqeq