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Jen-je Su, Wai-kong (adrian) Cheung and Astrophel (kim) Choo
''On the power of modified Kapetanios-Snell-Shin (KSS) tests''
( 2010, Vol. 30 No.3 )
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.
Keywords: unit root test, detrending, simulation, power
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Jul 18 2010 Manuscript Accepted : Jul 30 2010

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