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

DOI10.1016/j.econlet.2012.04.081zbMath1255.62243MaRDI QIDQ1925883

Junsoo Lee, Walter Enders

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 nonlinearity; Fourier approximation

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

Related Items

On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability, Threshold model with a time‐varying threshold based on Fourier approximation, Testing for strict stationarity in a random coefficient autoregressive model, Testing fractional unit roots with non-linear smooth break approximations using Fourier functions, On the performance of the variance ratio unit root tests with flexible Fourier form, Fractional frequency flexible Fourier form to approximate smooth breaks in unit root testing, Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis, Alternative unit root testing strategies using the Fourier approximation

Cites Work

• 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
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• Unit roots and smooth transitions
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis