Testing for a unit-root with a nonlinear Fourier function

Junsoo Lee () and Walter Enders

No 457, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: The paper develops a unit-root test that allows for an unknown number of structural breaks with unknown functional forms. The test is based on the fact that the behavior of such series can often be captured using a single frequency component of a Fourier approximation. Hence, instead of selecting specific break dates, the number of breaks, and the form of the breaks, the specification problem is transformed into selecting the proper frequency component to include in the estimating equation. Our proposed test does not exhibit any serious size distortions, and shows decent power. The appropriate use of the test is illustrated using real GDP and the interest rate differential

Keywords: Structural breaks; nonlinear models; Fourier approximation (search for similar items in EconPapers)
JEL-codes: C12 C22 E17 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations: View citations in EconPapers (57)

Downloads: (external link)
http://www.cba.ua.edu/~jlee/enders_lee_April_sent.pdf main text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.cba.ua.edu:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

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:ecm:feam04:457

Access Statistics for this paper

More papers in Econometric Society 2004 Far Eastern Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().