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  • Alternative unit root testing strategies using the Fourier approximation

    Author(s)
    Su, Jen-Je
    Nguyen, Jeremy
    Griffith University Author(s)
    Su, Jen-Je
    Year published
    2013
    Metadata
    Show full item record
    Abstract
    Two alternatives to Enders and Lee, 2012a and Enders and Lee, 2012b 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.Two alternatives to Enders and Lee, 2012a and Enders and Lee, 2012b 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.
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    Journal Title
    Economics Letters
    Volume
    121
    Issue
    1
    DOI
    https://doi.org/10.1016/j.econlet.2013.06.042
    Subject
    Economics
    Time-series analysis
    Publication URI
    http://hdl.handle.net/10072/55679
    Collection
    • Journal articles

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