期刊
ECONOMICS LETTERS
卷 117, 期 1, 页码 196-199出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2012.04.081
关键词
Neglected nonlinearity; Fourier approximation; Unit root
类别
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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