The literature concerning the impact of heavy-tailed innovations upon unit root tests is extended via analysis of the finite-sample distribution and size of the non-linear unit of Kapetanios et al. (2003) in the presence of alternative finite and infinite variance innovation processes....

The seminal analysis of Enders and Granger (1998) is extended to examine the properties of asymmetric unit root tests when the nature of the actual asymmetric adjustment process underlying the observed data is unknown. The analysis is further extended by considering joint testing for asymmetric...

The literature concerning the impact of heavy-tailed innovations upon unit root tests is extended via analysis of the finite-sample distribution and size of the non-linear unit of Kapetanios et al. (2003) in the presence of alternative finite and infinite variance innovation processes....

The seminal analysis of Enders and Granger (1998) is extended to examine the properties of asymmetric unit root tests when the nature of the actual asymmetric adjustment process underlying the observed data is unknown. The analysis is further extended by considering joint testing for asymmetric...