Simulation Analysis of Threshold Autoregressive Unit Root Tests

Table 2

Empirical sizes of symmetry tests.

	𝑇=200	𝑇=400	𝑇=800
Φ𝜇	0.08	0.09	0.12
Φ𝜇,𝑤	0.12	0.10	0.13
Φ𝜇,𝑛	0.22	0.19	0.16
Φ^𝑐𝜇	33.15	29.42	26.70
Φ^𝑐𝜇,𝑤	34.78	30.07	26.99
Φ^𝑐𝜇,𝑛	36.02	31.33	27.73
Φ^∗𝜇	4.35	4.45	4.39
Φ^∗𝜇,𝑤	5.00	4.70	4.60
Φ^∗𝜇,𝑛	6.16	5.46	5.07
Φ^𝜇∗,𝑐	26.69	24.37	20.69
Φ^∗,𝑐𝜇,𝑤	29.94	25.68	21.21
Φ^∗,𝑐𝜇,𝑛	33.33	27.77	22.43

The reported results represent empirical rejection frequencies at the 5% level of significance of symmetry tests for the TAR and MTAR models under deterministic and consistent threshold estimation using alternative covariance matrix estimators. The results were derived over 50,000 simulations.