A new nonlinear unit root test with Fourier function
نویسندگان
چکیده
منابع مشابه
Testing for a unit root with a nonlinear Fourier function
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 i...
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ژورنال
عنوان ژورنال: Communications in Statistics - Simulation and Computation
سال: 2018
ISSN: 0361-0918,1532-4141
DOI: 10.1080/03610918.2018.1473591