In recent research Enders and Granger (1998) have extended the Augmented Dickey Fuller statistic to allow the unit root hypothesis to be tested against an alternative of stationarity with asymmetric adjustment. In this paper the threshold autoregressive (TAR) and momentum threshold...

The lag order dependence of finite-sample Augmented Dickey-Fuller (ADF) critical values is examined via a comparison of the response surface specifications of Cheung and Lai (1995) and MacKinnon (1991). Theoretical, Monte Carlo and empirical evidence show failure to incorporate lag order effects...