期刊名称：Discussion Paper Series / Economics Department, University of Swansea
出版年度：2005
卷号：1
出版社：University of Swansea
摘要：The research of Kim and Schmidt (1993) is extended to examine the properties of asymmetric unit
root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH).
Using Monte Carlo simulation, threshold autoregressive and momentum¡ªthreshold autoregressive
asymmetric unit tests are shown to suffer greater size distortion than the original (implicitly symmetric)
Dickey-Fuller test when applied to series exhibiting GARCH. Importantly, it is found that
the use consistent-threshold estimation increases the oversizing of the resulting asymmetric unit
root test whether based upon the TAR or the MTAR model. The extent of oversizing of all tests
considered is shown to be dependent upon the size of the volatility parameter of the GARCH
model, with size distortion greater for larger values of the volatility parameter. The relevance
of the simulation analysis conducted is supported by GARCH modelling of the term structure of
US interest rates, the empirical example considered in the seminal study of Enders and Granger
(1998), with the estimated volatility parameter for the GARCH model found to be large enough to
generate substantial oversizing for asymmetric unit root tests. The results indicate that if GARCH
behaviour is suspected in economic or financial data, practitioners should interpret the results of
asymmetric unit root tests with care to avoid drawing a spurious inference of stationarity.
关键词：GARCH; Unit root tests; Asymmetry; Consistent-threshold estimation; Size distortion.
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