Journal
ECONOMICS LETTERS
Volume 117, Issue 1, Pages 196-199Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2012.04.081
Keywords
Neglected nonlinearity; Fourier approximation; Unit root
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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. (C) 2012 Elsevier B.V. All rights reserved.
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