On the performance of the variance ratio unit root tests with flexible Fourier form
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Date
2021
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor & Francis Ltd
Access Rights
info:eu-repo/semantics/openAccess
Abstract
This article introduces a new unit root test that combines the variance ratio framework with the Flexible Fourier Form under the generalized least squares detrending mechanism. The advantage of the proposed method against its alternatives can be listed as: (1) it suggests a non-parametric procedure that does not require any parametric or semi-parametric model to remove serial correlation in the innovation process; (2) it can reasonably adapt itself to deal with the multiple structural breaks with various functional specifications. In the simulation exercises, we show that the proposed method exhibits satisfactory performance in the size and size-adjusted power analysis.
Description
Keywords
Unit Root Test, Flexible Fourier Form, Variance Ratio, Gls Detrending, Term Structure, Time-Series, Cointegration, Hypothesis, Stationarity, Breaks, Null
Journal or Series
Journal of Applied Statistics
WoS Q Value
Q3
Scopus Q Value
Q2
Volume
48
Issue
13-15
