The flexible Fourier form and Dickey–Fuller type unit root tests
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 117 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ecolet
Neglected nonlinearity; Fourier approximation; Unit root;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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