On the power of modified Kapetanios-Snell-Shin (KSS) tests
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Author(s)
Su, Jen-Je
Choo, Astrophel
Cheung, Adrian
Year published
2010
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Show full item recordAbstract
This paper investigates if the recursive detrending method that works well for linear unit root tests also provides good outcomes for nonlinear unit root tests. It is found that the method improves the power of the nonlinear test when only a non-trending mean needs to be removed. The test, however, is no longer performing well if removal of a deterministic trend is required.This paper investigates if the recursive detrending method that works well for linear unit root tests also provides good outcomes for nonlinear unit root tests. It is found that the method improves the power of the nonlinear test when only a non-trending mean needs to be removed. The test, however, is no longer performing well if removal of a deterministic trend is required.
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Journal Title
Economics Bulletin
Volume
30
Issue
3
Publisher URI
Copyright Statement
© The Author(s) 2010. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this journal please refer to the publisher's website or contact the authors.
Subject
Time-Series Analysis
Economics