The research of Leybourne and Newbold (2003) is extended to examine the finite-sample size of the weighted symmetric cointegration test when applied to independent unit root processes subject to structural change. The results obtained show the weighted symmetric cointegration test to be more...

While there is disagreement concerning the integrated nature of US Gross domestic product (GDP) over the long-run, there is a consensus that it is best characterized as I(1) over the post-World War II period. In this article the existing literature is extended via the use of an exponential...

Recent research has shown the Dickey-Fuller (Econometrica, 49, pp. 1057-72, 1979) test to suffer severe size distortion in the presence of structural breaks under the unit root null hypothesis. In contrast, further theoretical results have suggested the weighted symmetric Dickey-Fuller test to...

Recent research concerning the properties of 'change in persistence' tests in the presence of structural change is extended. It is found that the recently proposed tests of Leybourne, Kim and Taylor (2004) are subject to severe size distortion in the presence of both breaks in level and drift...

The simulation results of Shin and So (2001) are revisited. It is shown that the properties of the initial condition of a time series have a substantial impact on the ability of recursive mean adjustment to reduce the negative bias associated with estimation of the autoregressive parameter....

In recent years a number of studies has examined the potential stochastic convergence of incomes in the United States. This research has been based upon examination of the order of integration of the ratios of regional levels of per-capita income relative to US aggregate per-capita income, with...

In this letter the question of whether the consumption-income ratio is mean reverting is revisited. To address known problems of low power associated with previous studies, more powerful modifications of the Dickey-Fuller (DF) test are applied. The results of weighted symmetric and recursively...

The literature on testing for the presence of cyclical asymmetry in consumers' expenditure is extended via the application of tests for time deformation to UK data subject to a high degree of disaggregation. The initial empirical findings provide evidence of significant time deformation in...

The properties of the Granger-Lee (Journal of Applied Econometrics, 4, S145-59, 1989) asymmetric error correction model under consistent-threshold estimation are considered, with the relationship between the threshold range and rejection of the symmetry hypothesis examined. The results of Monte...

The finite-sample properties of recently proposed range unit root tests are examined in the presence of serial correlation and drift. The results obtained show that both tests suffer from severe size distortion when applied to unit root process which either possess serially correlated...