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Performance of unit-root tests for non linear unit-root and partial unit-root processes
Communications in Statistics - Theory and Methods, 2015ABSTRACTThis paper investigates the finite-sample performance of the augmented Dickey–Fuller (ADF), Phillips–Perron (PP), momentum threshold autoregressive (M-TAR), Kapetanios–Shin–Snell (KSS), and the inf-t unit-root tests. Simulation results show that the ADF and KSS tests have better size, whereas other tests generate severe size distortions when ...
Lingxiang Zhang
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Unit roots are nonstationary autoregressive (AR) or autoregressive moving average (ARMA) time series processes which may include an intercept and/or a trend. These processes are used often in economics and finance, but can also be found in other scientific fields. Unit root tests address the null hypothesis of a unit root, and an alternative hypothesis
Edward Herranz
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