Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks

In this study, we investigate the validity of purchasing power parity (PPP) proposition for 34 European and selected global countries. For purpose, propose a new unit root test cross-sectionally dependent heterogeneous panels that allows gradual structural breaks symmetric nonlinear adjustment toward equilibrium level. The alternative hypothesis stationary is obtained by due to exponential smooth transition autoregression (ESTAR) around trend. Moreover, provide small sample properties extensively newly proposed test. Hence, has been proven characterize real exchange rate data (REER) correctly. Thus, tests an essential basis modeling REER series Finally, also derive approximate asymptotic distribution using techniques.