Sensitivity of linear and nonlinear unit root tests to delay length

In the study, linear time series processes and linear time series unit root tests and nonlinear time series processes and nonlinear time series unit root tests were divided into two sections. In the first part, time series basic concepts, linear time series processes, linear unit root tests and structural break unit root tests are given. In the second part, nonlinear time series concept, nonlinear time series processes and nonlinear time series unit root tests are included. In the third part, the size (size) and power (power) of the non-linear unit root tests were analyzed by performing simulation studies. According to the simulation results obtained, it was observed that each increase in the length of the delay caused serious deterioration in unit root tests and the power of the tests decreased. In practice, the effect of unit root tests proposed by Dickey-Fuller (1979), Kruse (2011), CSR (2003) and Sollis (2009) on size and strength properties are investigated. Small and large lag lengths indicate severe power loss and severe dimensional distortions in Dickey-Fuller (1979) linear unit root tests and in Kruse (2011), CSR (2003) and Sollis (2009) non-linear unit root tests.