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

被引：261

作者：

Enders, Walter ^{[1
]}

Lee, Junsoo ^{[1
]}

机构：

[1] Univ Alabama, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA

来源：

ECONOMICS LETTERS | 2012年 / 117卷 / 01期

关键词：

Neglected nonlinearity; Fourier approximation; Unit root; BREAKS;

D O I：

10.1016/j.econlet.2012.04.081

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We suggest a new unit-root test with a Fourier function in the deterministic term in a Dickey-Fuller type regression framework. Our suggested test can complement the Fourier LM and DF-GLS unit root tests. They have good size and power properties. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：196 / 199

页数：4

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