Perron, Pierre; Shintani, Mototsugu; Yabu, Tomoyoshi - Vanderbilt University Department of Economics - 2015
This paper proposes a new test for the presence of a nonlinear deterministic trend approximated by a Fourier expansion in a univariate time series for which there is no prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. Our approach builds on...