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

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

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

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

College of Business, Government and Law

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	2028-2036
Number of pages	9
Journal	Economics Bulletin
Volume	30
Issue number	3
Publication status	Published - 2010

Cite this

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

Abstract

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