Alternative unit root testing strategies using the Fourier approximation

Jen-Je Su and Jeremy Nguyen

Economics Letters, 2013, vol. 121, issue 1, 8-11

Abstract: Two alternatives to Enders and Lee’s (2012a,b) Fourier unit root testing strategy, which incorporates pretesting for nonlinearity, are considered. One is based on the union of rejection (UR) approach, and the other is a hybrid strategy that combines the UR approach with the use of extra information from nonlinearity pretesting. Simulation results show that the two proposed strategies, especially the hybrid, frequently outperform the original pretesting strategy.

Keywords: Unit root; Fourier series; Union of rejection; Pretesting (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:1:p:8-11

DOI: 10.1016/j.econlet.2013.06.042

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