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

  • Enders, Walter
  • Lee, Junsoo

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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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 1 ()
Pages: 196-199

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:196-199
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  2. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  3. Ruxandra Prodan, 2004. "Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity," Econometric Society 2004 North American Summer Meetings 90, Econometric Society.
  4. Ralf Becker & Walter Enders & Junsoo Lee, 2006. "A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 381-409, 05.
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