A Note on the Empirical Power of Unit Root Tests under Threshold Processes

2009

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/778c884a09b006f6c289335356557a73acd8d48a

Citations in the corpus

• ADL tests for threshold cointegration (2010, unknown): “Pippenger and Goering (1993, 2000) have examined this issue, and we wish to reconfirm the same result in the framework of our model.”
• Testing for a unit root in a stationary ESTAR process (2011, unknown): “Simulation studies in Balke and Fomby ( 1997 ), Pippenger and Goering ( 1993 ), and Taylor ( 2001 ) have shown that the power of the conventional unit root tests can be dramatically low against nonlinear alternatives.”
• TAR-cointegration neural network model: An empirical analysis of exchange rates and stock returns (2010, unknown): “The loss of power is also discussed in Pippenger and Goering (1993) and Taylor (2001).”