Modified unit root tests and momentum threshold autoregressive processes

The properties of modified Dickey-Fuller tests are examined when applied to momentum threshold autoregressive processes. The tests are found to possess high power, outperforming the standard Dickey-Fuller test and even the asymmetric momentum threshold autoregressive unit root test. The results suggest modifications made to increase the power of symmetric unit root tests could potentially be employed to increase the power of asymmetric unit root tests.