A momentum-threshold autoregressive unit root test with increased power
AbstractRecent 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 67 (2004)
Issue (Month): 4 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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