Testing for a unit-root with a nonlinear Fourier function
AbstractThe paper develops a unit-root test that allows for an unknown number of structural breaks with unknown functional forms. The test is based on the fact that the behavior of such series can often be captured using a single frequency component of a Fourier approximation. Hence, instead of selecting specific break dates, the number of breaks, and the form of the breaks, the specification problem is transformed into selecting the proper frequency component to include in the estimating equation. Our proposed test does not exhibit any serious size distortions, and shows decent power. The appropriate use of the test is illustrated using real GDP and the interest rate differential
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 457.
Date of creation: 11 Aug 2004
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Structural breaks; nonlinear models; Fourier approximation;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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