The flexible Fourier form and Dickey–Fuller type unit root tests

C-Tier

Journal: Economics Letters

Year: 2012

Volume: 117

Issue: 1

Pages: 196-199

Authors (2)

Enders, Walter (University of Alabama-Tuscaloo...) Lee, Junsoo (University of Alabama-Tuscaloo...)

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

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Abstract

We suggest a new unit-root test with a Fourier function in the deterministic term in a Dickey–Fuller type regression framework. Our suggested test can complement the Fourier LM and DF-GLS unit root tests. They have good size and power properties.

The flexible Fourier form and Dickey–Fuller type unit root tests

Authors (2)

Abstract

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