IDEAS home Printed from
   My bibliography  Save this article

A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence


  • Steven Cook

    (University of Wales Swansea, United Kingdom)


Using local-to-unity detrending, a modified momentum-threshold autoregressive test is derived to allow the unit root hypothesis to be tested against an alternative of asymmetric stationarity about a deterministic trend. Monte Carlo evidence is presented to show the increased power of the proposed test in the presence of asymmetric adjustment relative to the familiar Dickey-Fuller (1979) test and the momentum-threshold autoregressive test of Enders and Granger (1998). The empirical relevance of the test is illustrated via an application to New Zealand national output over the period 1870-2001, where in contrast to findings obtained using alternative unit root tests, the unit root hypothesis is conclusively rejected.

Suggested Citation

  • Steven Cook, 2004. "A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence," The International Journal of Applied Economics, Department of General Business, Southeastern Louisiana University, vol. 1(1), pages 46-54, September.
  • Handle: RePEc:ija:ancoec:v:1:y:2004:i:1:p:46-54

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Unit root tests; local-to-unity detrending; momentum-threshold autoregression;

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ija:ancoec:v:1:y:2004:i:1:p:46-54. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr. Yu Hsing). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.