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Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates

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  • Enders, Walter
  • Granger, C. W. J.

Abstract

This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey-Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey-Fuller test. The use of the tests is illustrated using the term structure of interest rates. It is shown that the movements toward the long-run equilibrium relationship are best estimated as an asymmetric process.

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Bibliographic Info

Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 1388.

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Date of creation: 30 Jun 1998
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Publication status: Published in Journal of Business & Economic Statistics, July 1998,
Handle: RePEc:isu:genres:1388

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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
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Web page: http://www.econ.iastate.edu
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