PRACTITIONERS CORNER: A Note on the Empirical Power of Unit Root Tests under Threshold Processes†
作者： Michael K. Pippenger , Gregory E. Goering
DOI: 10.1111/J.1468-0084.1993.MP55004007.X
关键词:
摘要: Unit root tests are frequently used to test long-run economic relationships. However, many of these relationships not expected follow simple time-series processes due transaction costs boundaries or thresholds. This paper finds that the power unit in detecting equilibrium can be significantly diminished by existence costs. The authors' results call into question efficacy presence transactions Copyright 1993 Blackwell Publishing Ltd
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