The power of asymmetric unit root tests under threshold and consistent-threshold estimation
The asymmetric unit root tests of Enders and Granger (Journal of Business and Economic Statistics, 16, 304-11, 1998) are examined using consistent threshold estimation and the original two-step procedure. In contrast to earlier studies, the ability of the tests to jointly reject the unit root and symmetry hypotheses is examined, thus permitting a fuller analysis of the tests' properties. Whilst the threshold autoregressive test is found to have little power in either its consistent or original forms, the consistent momentum-threshold autoregressive test is found to exhibit high power against a range of plausible alternatives when using newly derived critical values.
Year of publication: |
2003
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Authors: | Cook, Steven ; Manning, Neil |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 35.2003, 14, p. 1543-1550
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Publisher: |
Taylor & Francis Journals |
Saved in:
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