Kim et al. (2002) demonstrate that the Dickey-Fuller unit root test can experience severe size distortion when a large decrease in the innovation variance occurs early in the sample period, leading to spurious rejection of the null. We extend this analysis to the case of spurious identification...

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...