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

Walter Enders and Junsoo Lee ()

Economics Letters, 2012, vol. 117, issue 1, 196-199

Abstract: 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.

Keywords: Neglected nonlinearity; Fourier approximation; Unit root (search for similar items in EconPapers)
JEL-codes: C12 E4 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (154)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:196-199

DOI: 10.1016/j.econlet.2012.04.081

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