Alternative unit root testing strategies using the Fourier approximation |
| |
Authors: | Jen-Je Su Jeremy K. Nguyen |
| |
Affiliation: | Griffith University, Australia |
| |
Abstract: | Two alternatives to and 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. |
| |
Keywords: | C20 C22 |
本文献已被 ScienceDirect 等数据库收录! |
|