On the power of modified Kapetanios-Snell-Shin (KSS) tests.

Jen-Jen Su, Wai-Kong Cheung, Astrophel Choo

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)2028-2036
Number of pages9
JournalEconomics Bulletin
Volume30
Issue number3
Publication statusPublished - 2010

Fingerprint Dive into the research topics of 'On the power of modified Kapetanios-Snell-Shin (KSS) tests.'. Together they form a unique fingerprint.

  • Cite this

    Su, J-J., Cheung, W-K., & Choo, A. (2010). On the power of modified Kapetanios-Snell-Shin (KSS) tests. Economics Bulletin, 30(3), 2028-2036.