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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
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Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:128-133