A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks
By W. Enders, Junsoo Lee. 2012
704 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/b2af45b2cc32ffb8c84045dea272535f2d534937
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Muhammad Shahbaz
- Syed Jawad Hussain Shahzad
- Junsoo Lee
- P. Jones
- Mark Strazicich
- W. Enders
- Ming Meng
- Zhilun Jiao
Citations in the corpus
- Financial development and environmental quality: The way forward (2016, methodology): “(ii) The Fourier ADF (Enders and Lee, 2012) is used to analyse the level of integration of the variables to accommodate possible nonlinearities. (iii) The nonlinear autoregressive distributed lag (NARDL) cointegration approach developed by Shin et al. (2014) is used to examine the asymmetric long-ru”
- A Simple Panel Unit‐Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure (2016, neutral): “1 Allowing for two frequency parameters, 1 = 1 and 2 = 2, is important if breaks are sharp (Enders and Lee, 2012a).”
- Grain prices, oil prices, and multiple smooth breaks in a VAR (2016, methodology): “Gallant and Souza (1991) show that the and in (10) have a multivariate normal distribution.”
- The flexible Fourier form and Dickey–Fuller type unit root tests (2012, methodology): “Our suggested tests can complement the LM version of Enders and Lee (2012) or the DF-GLS version test of Rodrigues and Taylor (2012).”
- Public-private partnerships investment in energy as new determinant of CO2 emissions: The role of technological innovations in China (2020, background): “(1998a) empirical origins including the calculation of Enders and Lee (2012) test statistics, which is, in fact, t-ratio of is the ordinary least squares regression:”
- Two-Step LM Unit Root Tests with Trend-Breaks (2012, methodology): “In fact, endogenous break unit root tests with more than two breaks lose considerable power.12 As such, we recommend using a parsimonious number of breaks; or adopting a nonlinear model if the data is subject to many breaks (see Enders and Lee, 2011).”