The finite-sample size properties of smooth transition unit root tests are examined when applied to unit root processes subject to breaks in either level or drift. In contrast to the weighted symmetric and recursively mean-adjusted unit root tests which have been shown to be robust in these...

The research of Leybourne and Newbold (2003) is extended to examine the finite-sample size of the weighted symmetric cointegration test when applied to independent unit root processes subject to structural change. The results obtained show the weighted symmetric cointegration test to be more...

A class of smooth transition momentum-threshold autoregressive (ST-MTAR) tests is proposed to allow testing of the unit root hypothesis against an alternative of asymmetric adjustment about a smooth nonlinear trend. Monte-Carlo simulation is employed to derive finite-sample critical values for...