On the power of modified Kapetanios-Snell-Shin (KSS) tests

Jen-je Su (), Adrian (Wai-Kong) Cheung () and Astrophel (kim) Choo ()
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Jen-je Su: Griffith University
Astrophel (kim) Choo: Griffith University

Economics Bulletin, 2010, vol. 30, issue 3, 2028-2036

Abstract: This paper investigates if the recursive detrending method that works well for linear unit root tests also provides good outcomes for nonlinear unit root tests. It is found that the method improves the power of the nonlinear test when only a non-trending mean needs to be removed. The test, however, is no longer performing well if removal of a deterministic trend is required.

Keywords: unit root test; detrending; simulation; power (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2010-07-30
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