Simulation Analysis of Threshold Autoregressive Unit Root Tests

Table 1

Critical values for asymmetric unit root tests.

Φ^∗,𝑐𝜇,𝑤	4.87	5.98	8.61	4.60	5.60	7.78	4.49	5.38	7.48
Φ^∗,𝑐𝜇,𝑛	5.63	7.02	10.47	5.12	6.33	9.06	4.79	5.85	8.20

The reported results represent critical values for the TAR and MTAR tests under deterministic and consistent threshold estimation using alternative covariance matrix estimators. The results were derived over 50,000 simulations.