Performance of unit-root tests for non linear unit-root and partial unit-root processes |
| |
Authors: | Lingxiang Zhang |
| |
Institution: | 1. School of Management and Economics, Beijing Institute of Technology, Beijing, People's Republic of Chinalingxiangzh@163.com |
| |
Abstract: | ABSTRACTThis paper investigates the finite-sample performance of the augmented Dickey–Fuller (ADF), Phillips–Perron (PP), momentum threshold autoregressive (M-TAR), Kapetanios–Shin–Snell (KSS), and the inf-t unit-root tests. Simulation results show that the ADF and KSS tests have better size, whereas other tests generate severe size distortions when the date-generating processes are non linear unit-root processes. In general, with regard to the combination of test powers with test sizes, the ADF and KSS tests are comparatively better than the PP, M-TAR, and inf-t tests; moreover, the inf-t test exhibits the poorest performance even for larger sample sizes. |
| |
Keywords: | Monte Carlo simulation Partial unit root Unit-root tests |
|
|