A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks*
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1468-0084.2011.00662.x/fullpdf
Reference20 articles.
1. ‘An LM test for a unit root in the presence of a structural change’;Amsler;Econometric Theory,1995
2. ‘Estimating and testing linear models with multiple structural changes’;Bai;Econometrica,1998
3. ‘A general test for time dependence in parameters’;Becker;Journal of Applied Econometrics,2004
4. ‘A stationary test with an unknown number of smooth breaks’;Becker;Journal of Time Series Analysis,2006
5. ‘Testing for a unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate’;Bierens;Journal of Econometrics,1997
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