The flexible Fourier form and Dickey–Fuller type unit root tests

We suggest a new unit-root test with a Fourier function in the deterministic term in a Dickey–Fuller type regression framework. Our suggested test can complement the Fourier LM and DF-GLS unit root tests. They have good size and power properties.

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Year of publication:	2012
Authors:	Enders, Walter ; Lee, Junsoo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 196-199
Publisher:	Elsevier
Subject:	Neglected nonlinearity \| Fourier approximation \| Unit root

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; E4 - Money and Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580458