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 an...

This paper illustrates the flexibility of the ESTAR model to encompass a number of different characteristics found in economic and financial series, such as multiple equilibria, complex dynamics, chaotic-like behavior, and spurious trends. We then re-assess the power of the Kapetanios et al. (2003), Enders and Granger (1998), and Augmented Dickey Fuller unit root tests in the presence of nuisan...

This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when applied to regression residuals is more powerful than Geweke-Porter-Hudak tests and the Augmented Dickey...

This paper shows that the spurious rejection problem illustrated by Leybourne et al. (1998) [Leybourne, S.J., Mills, T., Newbold, P., 1998. Spurious rejections by Dickey–Fuller tests in the presence of a break under the null. Journal of Econometrics 87, 191–203] is restricted to the DF type test, which is based on the conditional likelihood function discarding the first observation.  2000 Else...

This paper proposes a new unit root test against a non-linear exponential smooth transition autoregressive (ESTAR) model. The new test is build upon the non-standard testing approach of Abadir and Distaso (2007) who introduce a class of modified statistics for testing joint hypotheses when one of the alternatives is one-sided. In a Monte Carlo study the popular Dickey-Fuller type test proposed ...

We combined recent developments in univariate and multivariate unit root testing in order to construct a more-powerful panel unit root test. We extended the GLS-detrending procedure of Elliott, Rothenberg, and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for smal...

We present the first genuine test for a unit root (or of any other value of the autoregressive coeffi cient) within an autoregressive model for errors with given bounds that follow a martingale difference sequence. Without such bounds nontrivial tests are known not to exist. Our test is exact, we do not add other assumptions on the process. Competitors either do not control the type I error for...

A new approach is proposed for edge detection in ultrasound. The technique examines the image intensity profile for unit roots based on the Dickey–Fuller statistical test of stationarity. The existence of the unit root is a sign of nonstationarity and a possible edge. A simple algorithm to build a segmentation method based on this edge detection approach is also proposed, which is capable of de...

We propose a class of simple rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f . The validity of these tests, in terms of exact finite sample size, is guaranteed by distribution-freeness, irrespective of the value of the drift and the actual underlying f . W...