A momentum-threshold autoregressive unit root test with increased power
Recent research has shown the momentum-threshold autoregressive (MTAR) unit root test of Enders and Granger (J. Business Econom. Statist. 16 (1998) 304) to exhibit less power than modified Dickey-Fuller tests when applied to MTAR processes. In this paper a revised MTAR test is proposed which employs local-to-unity detrending. The newly proposed test is shown to possess greater power than both the original MTAR test and modified Dickey-Fuller tests over a range of MTAR processes.
Year of publication: |
2004
|
---|---|
Authors: | Cook, Steven |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 67.2004, 4, p. 307-310
|
Publisher: |
Elsevier |
Keywords: | Unit root tests Local-to-unity detrending Momentum-threshold autoregression |
Saved in:
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