IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Testing for a unit-root with a nonlinear Fourier function

  • Junsoo Lee
  • Walter Enders

The 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

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.cba.ua.edu/~jlee/enders_lee_April_sent.pdf
File Function: main text
Download Restriction: no

Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 457.

as
in new window

Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:feam04:457
Contact details of provider: Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ecm:feam04:457. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.