How Useful are Tests for Unit-Root in Distinguishing Unit-Root Processes from Stationary but Non-Linear Processes?

By Chi‐Young Choi, Young-kyu Moh. 2007

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d8b3df95dcb2f752c3e86f728e2080d07b1d6f8b

Citations in the corpus

• More Powerful Unit Root Tests with Non-normal Errors (2014, unknown): “For this purpose, we follow the work of Choi and Moh (2007) who considered sixteen non-linear model speci…cations and examined the power of four popular non-linear unit root tests: the KSS test of Kapetanios et al. (2003) who used the ESTAR model; the sign test of So and Shin (2001); the M-TAR test…”