TESTING THE POWER PROPERTIES OF FOURIER-SOLLIS UNIT ROOT TEST UNDER SYMMETRIC AND ASYMMETRIC REVERSIONS

The unit root test proposed by Ranjbar et al. (2018) was examined for an alternative of stationary asymmetric exponential smooth transition autoregressive (AESTAR) under structural breaks. situation that stands out as a deficiency in the mentioned study model does not includes zero-mean structure taken into account. On contrary, features should also had been explained. Because time-varying deterministic terms were removed from time series describing fact no formed due to transformation during redefinition difference equation indicates obtained be evaluated with zero-mean. This methodology developed is interpretation Sollis (2009) Fourier can called Fourier-Sollis condition. critical values finite samples calculated and size power properties evaluated. Fourier-KSS tests compared assumption symmetric/asymmetric reversions. Under reversions, found more successful. However, symmetric assumption, these used together.