A new nonlinear unit root test with Fourier function


Güriş B.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.48, ss.3056-3062, 2019 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 48
  • Basım Tarihi: 2019
  • Doi Numarası: 10.1080/03610918.2018.1473591
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Sayfa Sayıları: ss.3056-3062

Özet

Traditional unit root tests display a tendency to be nonstationary in the case of structural breaks and nonlinearity. To eliminate this problem this paper proposes a new flexible Fourier form nonlinear unit root test. This test eliminates this problem to add structural breaks and nonlinearity together to the test procedure. In this test procedure, structural breaks are modeled by means of a Fourier function and nonlinear adjustment is modeled by means of an exponential smooth threshold autoregressive (ESTAR) model. The simulation results indicate that the proposed unit root test is more powerful than the Kruse and KSS tests.