The low power of threshold, or asymmetric, cointegration tests is addressed. A new test is developed which combines momentum-threshold autoregression (MTAR) and local-to-unity detrending via generalised least squares (GLS). Critical values for the newly proposed GLS-MTAR threshold cointegration...

The standard Dickey–Fuller (DF) test is routinely employed to analyse the integrated nature of economic and financial time series. However, recent research has shown the test to suffer severe size distortion in the presence of breaks in innovation variance under the unit root null hypothesis....

The power properties of the rank-based Dickey-Fuller (DF) unit root test of Granger and Hallman [C. Granger and J. Hallman, Nonlinear transformations of integrated time series, J. Time Ser. Anal. 12 (1991), pp. 207-218] and the range unit root tests of Aparicio et al. [F. Aparicio, A. Escribano,...

In recent research [B. Seo, Distribution theory for unit root tests with conditional heteroskedasticity, J. Econometrics 91 (1999) 113–144] has suggested that the examination of the unit root hypothesis in series exhibiting GARCH behaviour should proceed via joint maximum likelihood (ML)...