A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model

Güriş, Burak (2017): A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model.

Abstract

This study suggests a new nonlinear unit root test procedure with Fourier function. 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 Monte Carlo simulation results indicate that the proposed test has good size and power properties. This test eliminates the problems of over-acceptance of the null of nonstationarity to allow multiple smooth temporary breaks and nonlinearity together into the test procedure.

• Item Type: MPRA Paper
• Language: English
• Keywords: Flexible Fourier Form, Unit Root Test, Nonlinearity
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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