Alternative unit root testing strategies using the Fourier approximation

DOI10.1016/J.ECONLET.2013.06.042zbMath1284.62573OpenAlexW1986537791MaRDI QIDQ2446467

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

unit rootFourier seriespretestingunion of rejection

Mathematics Subject Classification ID

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

Cites Work

• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• 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
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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