The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests*
By Paulo M.M. Rodrigues, Alan M. Taylor. 2012
120 citations recorded by the source corpus.
Subfields: Applied Mathematics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/c62266b0eab2b14166bdbed9d7624e334873615b
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In Applied Mathematics
In Statistics and Probability
Citations in the corpus
- 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).”
- Grain prices, oil prices, and multiple smooth breaks in a VAR (2016, background): “1 = 1 + 111−1 + 122−1 + 1 (23) 2 = 2 + 211−1 + 222−1 + 2 (24)”
- A Simple Panel Unit‐Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure (2016, unknown): “…discrete breaks, several articles develop unit-root tests by applying Gallant’s (1981) flexible Fourier form to take into account smoothing breaks in the deterministic components (Becker, Enders and Hurn, 2004; Becker, Enders and Lee, 2006; Enders and Lee, 2012a,b; Rodrigues and Taylor, 2012).”