Alternative unit root testing strategies using the Fourier approximation

DOI10.1016/J.ECONLET.2013.06.042MaRDI QIDQ2446467zbMATH OpenOpenAlexFDO

Authors Jeremy K. Nguyen, Jen-je Su

Publication date 17 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.06.042

zbMATH Keywords

Fourier seriesunit rootpretestingunion of rejection

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The flexible Fourier form and Dickey-Fuller type unit root tests
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• On the performance of the variance ratio unit root tests with flexible Fourier form
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• A new nonlinear unit root test with Fourier function
• Spectral approach to parameter-free unit root testing

Cites work

• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The flexible Fourier form and Dickey-Fuller type unit root tests
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

Cited in

(4)

• A consistent test for unit root against fractional alternative
• UNIT ROOT TESTS WITH WAVELETS
• On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
• On the performance of the variance ratio unit root tests with flexible Fourier form

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