The flexible Fourier form and Dickey–Fuller type unit root tests
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References listed on IDEAS
- 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.
- 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, May.
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"Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity,"
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More about this item
KeywordsNeglected nonlinearity; Fourier approximation; Unit root;
- 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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