Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5057581 | Economics Letters | 2017 | 6 Pages |
Abstract
â¢We assume that the null unit root process is with a Fourier component.â¢We derive the asymptotic distribution of the standard Dickey-Fuller (DF) test.â¢Asymptotic distributional results generate interesting predictions.â¢The converse Perron phenomenon may occur when a Fourier-form break exists.â¢The predictions are confirmed by simulation results.
We derive the null asymptotic distribution of the standard Dickey-Fuller test with the existence of an unnoticed Fourier component. The so-called converse Perron phenomenon might occur, but only in the trend-case with a low-frequency Fourier component and small error variance.
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Authors
Lixiong Yang, Chingnun Lee, Jen-Je Su,