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Modified unit root tests and momentum threshold autoregressive processes

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  • Cook, Steven

Abstract

The properties of modified Dickey-Fuller tests are examined when applied to momentum threshold autoregressive processes. The tests are found to possess high power, outperforming the standard Dickey-Fuller test and even the asymmetric momentum threshold autoregressive unit root test. The results suggest modifications made to increase the power of symmetric unit root tests could potentially be employed to increase the power of asymmetric unit root tests.

Suggested Citation

  • Cook, Steven, 2003. "Modified unit root tests and momentum threshold autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 64(1), pages 83-88, August.
    • Handle: RePEc:eee:stapro:v:64:y:2003:i:1:p:83-88
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    References listed on IDEAS

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    1. Dong Wan Shin & Beong Soo So, 2001. "recursive Mean Adjustment for Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 595-612, September.
    2. Leybourne, S J, 1995. "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 559-571, November.
    3. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    4. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
    5. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-459, October.
    6. Heon Jin Park & Wayne A. Fuller, 1995. "Alternative Estimators And Unit Root Tests For The Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 415-429, July.
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    Cited by:

    1. Adämmer, Philipp & Bohl, Martin T., 2015. "Speculative bubbles in agricultural prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 67-76.
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    3. Atanu Ghoshray and Tatiana Trifonova, 2014. "Dynamic Adjustment of Crude Oil Price Spreads," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).

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