EconPapers    
Economics at your fingertips  
 

Behavior of the standard Dickey–Fuller test when there is a Fourier-form break under the null hypothesis

Lixiong Yang, Chingnun Lee and Jen-Je Su

Economics Letters, 2017, vol. 159, issue C, 128-133

Abstract: We derive the null asymptotic distribution of the standard Dickey–Fuller test with the existence of an unnoticed Fourier component. The so-called converse Perron phenomenon might occur, but only in the trend-case with a low-frequency Fourier component and small error variance.

Keywords: Structural break; Fourier approximation; Unit root test (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176517302963
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:159:y:2017:i:c:p:128-133

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-10-28
Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:128-133