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Applied Economics Letters Volume 28, 2021 - Issue 19
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Research Article

A new combination of Fourier unit root tests: a PPP application for fragile economies

Fatma Zerena Department of Econometrics, Inonu University, Malatya, Turkey
&
Fatma Kızılkayab Department of Business Administration, Hakkari University, Hakkari, TurkeyCorrespondence[email protected]
Pages 1707-1711 | Published online: 30 Nov 2020

References

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  • Becker, R., W. Enders, and J. Lee. 2006. “A Stationary Test in the Presence of an Unknown Number of Smooth Breaks.” Journal of Time Series Analysis 27 (3): 381–409. doi:https://doi.org/10.1111/j.1467-9892.2006.00478.x.
  • Christopoulos, D. K., and M. A. León-Ledesma. 2010. “Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates.” Journal of International Money and Finance 29 (6): 1076–1093. doi:https://doi.org/10.1016/j.jimonfin.2010.02.003.
  • Dickey, D. A., and W. A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74 (366a): 427–431.
  • Fisher, R. A. 1932. Statistical Methods for Research Workers. 4th ed. Edinburgh: Oliver and Boyd, Edinburgh.
  • Furuoka, F. 2018. “A New Causality Test for the Analysis of the Export-Growth Nexus.” MPRA Paper No. 91467, Germany: University Library of Munich.
  • Jones, P. M., and W. Enders. 2014. “On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability.” In Ma and Wohar (Eds.). In Recent Advances in Estimating Nonlinear Models, 59–83. New York: Springer.
  • Nguyen, J., and J. Su. 2015. “Combining Linear and Nonlinear Unit Root Tests with an Application to PPP.” Economics Bulletin 35 (4): 2796–2801.
  • Pentecost, E. J. 1993. Exchange Rate Dynamics. Cheltenham: Edward Elgar.

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