关键词: 关键词：平滑转换自回归模型, 单位根检验, 功效

Abstract: Abstract: For the problems of the unit root test in the nonlinear model, we think that the unit root tests of the nonlinear model should not be carried out in the AR model, but should be carried out in nonlinear model. Using LSTAR (1) model as an example, we give the unit root test statistic and its critical value. The Monte Carlo tests confirm that the effect of the proposed unit root test statistic is significantly higher than that of DF unit root test, and only when the non-stationary feature is very obvious, DF tests can detect the unit root, therefore, it is necessary to carry out the unit root test in nonlinear models.

Key words: Key words: Smooth Transition Autoregressive Model, Unit Root Test, Effect