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

DOI10.1016/J.ECONLET.2012.04.081MaRDI QIDQ1925883zbMATH OpenOpenAlexFDO

Authors Walter Enders, Junsoo Lee

Publication date 27 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.04.081

zbMATH Keywords

neglected nonlinearityFourier approximation

Mathematics Subject Classification ID

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

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Cites work

• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
• Testing for a unit root in the nonlinear STAR framework
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit roots and smooth transitions

Cited in

(14)

• Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures^†
• Johansen‐type cointegration tests with a Fourier function
• Alternative unit root testing strategies using the Fourier approximation
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Testing for strict stationarity in a random coefficient autoregressive model
• Threshold model with a time-varying threshold based on Fourier approximation
• Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis
• Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
• A new nonlinear unit root test with Fourier function
• 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
• Grain prices, oil prices, and multiple smooth breaks in a VAR
• A parametric stationarity test with smooth breaks
• Fractional frequency flexible Fourier form to approximate smooth breaks in unit root testing

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