English, Article edition: A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence Steven Cook

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence
Author
  • Steven Cook
Physical Description
  • article
Notes
  • Using local-to-unity detrending, a modified momentum-threshold autoregressive test is derived to allow the unit root hypothesis to be tested against an alternative of asymmetric stationarity about a deterministic trend. Monte Carlo evidence is presented to show the increased power of the proposed test in the presence of asymmetric adjustment relative to the familiar Dickey-Fuller (1979) test and the momentum-threshold autoregressive test of Enders and Granger (1998). The empirical relevance of the test is illustrated via an application to New Zealand national output over the period 1870-2001, where in contrast to findings obtained using alternative unit root tests, the unit root hypothesis is conclusively rejected.
  • Unit root tests, local-to-unity detrending, momentum-threshold autoregression
  • RePEc:ija:ancoec:v:1:y:2004:i:1:p:46-54
Language
  • English
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