Choi, Chi-Young; Moh, Young-Kyu - In: Econometrics Journal 10 (2007) 1, pp. 82-112
Standard unit-root tests are known to be biased towards the non-rejection of a unit-root when they are applied to time series with non-linear dynamics. Unfortunately, not much is known about the source of the power loss mainly because the analysis on nonstationarity and nonlinearity to this date...