Alternative unit root testing strategies using the Fourier approximation

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 121
Issue: 1
Pages: 8-11

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Two alternatives to Enders and Lee’s (2012a,b) Fourier unit root testing strategy, which incorporates pretesting for nonlinearity, are considered. One is based on the union of rejection (UR) approach, and the other is a hybrid strategy that combines the UR approach with the use of extra information from nonlinearity pretesting. Simulation results show that the two proposed strategies, especially the hybrid, frequently outperform the original pretesting strategy.

Technical Details

RePEc Handle
repec:eee:ecolet:v:121:y:2013:i:1:p:8-11
Journal Field
General
Author Count
2
Added to Database
2026-01-26