A momentum-threshold autoregressive unit root test with increased power

Steven Cook

Statistics & Probability Letters, 2004, vol. 67, issue 4, 307-310

Abstract: Recent research has shown the momentum-threshold autoregressive (MTAR) unit root test of Enders and Granger (J. Business Econom. Statist. 16 (1998) 304) to exhibit less power than modified Dickey-Fuller tests when applied to MTAR processes. In this paper a revised MTAR test is proposed which employs local-to-unity detrending. The newly proposed test is shown to possess greater power than both the original MTAR test and modified Dickey-Fuller tests over a range of MTAR processes.

Keywords: Unit; root; tests; Local-to-unity; detrending; Momentum-threshold; autoregression (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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