A New Nonlinear Unit Root Test with Fourier Function

Burak Güriş ()

MPRA Paper from University Library of Munich, Germany

Abstract: Traditional unit root tests display a tendency to be nonstationary in the case of structural breaks and nonlinearity. To eliminate this problem this paper proposes a new flexible Fourier form nonlinear unit root test. This test eliminates this problem to add structural breaks and nonlinearity together to the test procedure. In this test procedure, structural breaks are modeled by means of a Fourier function and nonlinear adjustment is modeled by means of an Exponential Smooth Threshold Autoregressive (ESTAR) model. The simulation results indicate that the proposed unit root test is more powerful than the Kruse (2011) and KSS(2003) tests.

Keywords: Flexible Fourier Form; Unit Root Test; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2017-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/83080/1/MPRA_paper_83080.pdf revised version (application/pdf)

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