University of Tehran Iranian Economic Review 1026-6542 22 1 2018 03 01 A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks 51 62 65349 10.22059/ier.2018.65349 EN Omid Ranjbar Iran and Trade Promotion Organization, Allameh Tabataba'i University, Tehran, Iran Tsangyao Chang Department of Finance, Feng Chia University, Taichung, Taiwan Zahra Mila Elmi Faculty of Economics, University of Mazandaran, Babolsar, Iran Chien-Chiang Lee Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan Journal Article 2016 12 17 T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christopoulos and Leon-Ledesma (2010) test. The results indicate that our unit root test approach is superior to the test method of Christopoulos and Leon-Ledesma (2010) for both transition parameters (i.e. slow and fast speed), and the test power increases along with the frequency. We apply our test statistics for examining the real interest rate parity hypothesis among OECD countries.   https://ier.ut.ac.ir/article_65349_4d50238d553fcf3f7a5f274eba958559.pdf