A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model

Burak Güriş ()

MPRA Paper from University Library of Munich, Germany

Abstract: This study suggests a new nonlinear unit root test procedure with Fourier function. 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 Monte Carlo simulation results indicate that the proposed test has good size and power properties. This test eliminates the problems of over-acceptance of the null of nonstationarity to allow multiple smooth temporary breaks and nonlinearity together into the test procedure.

Keywords: Flexible Fourier Form; Unit Root Test; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C12 C2 C22 (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:83472

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