Lee, Hyejin; Meng, Ming; Lee, Junsoo - In: Economics Letters 117 (2012) 1, pp. 214-216
We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.
