IDEAS home Printed from
   My bibliography  Save this article

On maintaining the power of the Kapetanios--Snell--Shin (KSS) test under uncertain initial conditions


  • Jen-Je Su
  • Duc-Tho Nguyen


This article investigates the impact of initial condition (specifically, the deviation of the initial observation from the underlying deterministic component) on the power properties of the nonlinear Kapetanios-- Snell--Shin (KSS) unit root test. While the Generalized Least Squares (GLS)-detrended KSS test has significant power advantage over the Ordinary Least Squares (OLS)-detrended KSS test if the initial deviation is small, the opposite occurs if the initial deviation is large. These results are similar to those found previously for the Dickey--Fuller (DF) test. To maintain good power properties across different initial conditions, a Union of Rejections (UR) strategy is adopted; the strategy is demonstrated to be useful.

Suggested Citation

  • Jen-Je Su & Duc-Tho Nguyen, 2012. "On maintaining the power of the Kapetanios--Snell--Shin (KSS) test under uncertain initial conditions," Applied Economics Letters, Taylor & Francis Journals, vol. 19(9), pages 891-896, June.
  • Handle: RePEc:taf:apeclt:v:19:y:2012:i:9:p:891-896
    DOI: 10.1080/13504851.2011.607120

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    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:taf:apeclt:v:19:y:2012:i:9:p:891-896. 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: (Chris Longhurst). 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.