Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 745-752
Using Monte Carlo simulation, threshold autoregressive (TAR) and momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is shown that TAR and MTAR unit root tests exhibit greater...