Ozel, OzgurIlalan, Deniz01. Çankaya Üniversitesi03.01. Bankacılık ve Finans03. İktisadi ve İdari Birimler Fakültesi2019-12-232025-09-182019-12-232025-09-182018İlalan, Deniz; Özel, Özgür (2018). Non-linear unit root testing with arctangent trend: Simulation and applications in finance, Cogent Mathematics, 5(1).2574-2558https://doi.org/10.1080/25742558.2018.1458555https://hdl.handle.net/20.500.12416/14587Ilalan, Deniz/0000-0002-0905-2304We consider arctangent as the logistic function and compute the asymptotic critical values of the related non-linear unit root test via Monte Carlo simulation. While doing so, we got inspiration from some pioneering articles and use first-order Taylor approximation. We observe that this newly proposed test exhibits higher power than some well-known linear and non-linear tests. We apply our test to some stock indexes and find out that a non-linear arctangent trend can be at stage, rather than a linear unit root process.eninfo:eu-repo/semantics/openAccessUnit Root TestSmooth TransitionAsymptotic DistributionArticle10.1080/25742558.2018.1458555