Alternative unit root testing strategies using the Fourier approximation
Two alternatives to Enders and Lee’s (2012a,b) Fourier unit root testing strategy, which incorporates pretesting for nonlinearity, are considered. One is based on the union of rejection (UR) approach, and the other is a hybrid strategy that combines the UR approach with the use of extra information from nonlinearity pretesting. Simulation results show that the two proposed strategies, especially the hybrid, frequently outperform the original pretesting strategy.
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- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Journal of Econometrics, Elsevier, vol. 169(2), pages 188-195.
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