The consistent threshold estimation method is used to improve the threshold specification of the Granger-Lee asymmetric error correction model. Although only previously considered in the context of univariate analysis, the approach is found to uncover asymmetry undetected under the typical...

In recent research Leybourne and co-workers examined the behaviour of the Dickey-Fuller τ test in the presence of structural breaks under the null. It was found that breaks in either level or drift occurring early in the sample period resulted in severe size distortion, with the unit root...

The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two...

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...