Tests for a unit root using three-regime threshold autoregressive (TAR) models play a significant role in the empirical analysis of some economic theories. This article compares the powers of recently proposed unit root tests in three-regime TAR models using Monte Carlo experiments. The...

This paper investigates the small sample properties of a unit root test under the framework of multiple level shifts when time series variables are I(1) or I(0) processes with Markov level shifts. In order to investigate these properties, we introduce a unit root test with multiple level shifts....

Testing for cointegration in the presence of nonlinear adjustments or structural breaks is important for examining the equilibrium relationship among economic variables. It is known that standard cointegration tests perform poorly when a cointegration relationship has nonlinear adjustments or...