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Applied Economics Letters Volume 30, 2023 - Issue 17
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Research Article

On the convergence of metals price – a series of Fourier DF unit root tests

Yifei Caia International Business School, Jilin International Studies University, Changchun, ChinaORCID Iconhttps://orcid.org/0000-0002-7607-0473
ORCID Icon &
Tsangyao Changb Department of Finance, Feng Chia University, Taichung, TaiwanCorrespondence[email protected]
Pages 2450-2454 | Published online: 06 Jul 2022

References

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  • Cai, Y., and T. Omay. 2022. “Using Double Frequency in Fourier Dickey–Fuller Unit Root Test.” Computational Economics 59 (2): 445–470. doi:10.1007/s10614-020-10075-5.
  • Davies, R. B. 1987. “Hypothesis Testing When a Nuisance Parameter Is Present Only under the Alternative.” Biometrika 74 (1): 33–43.
  • 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.
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  • Gil-Alana, L. A., and O. S. Yaya. 2021. “Testing Fractional Unit Roots with non-linear Smooth Break Approximations Using Fourier Functions.” Journal of Applied Statistics 48 (13–15): 2542–2559. doi:10.1080/02664763.2020.1757047.
  • Omay, T. 2015. “Fractional Frequency Flexible Fourier Form to Approximate Smooth Breaks in Unit Root Testing.” Economics Letters 134: 123–126. doi:10.1016/j.econlet.2015.07.010.
  • Westerlund, J. 2013. “Simple Unit Root Testing in Generally Trending Data with an Application to Precious Metal Prices in Asia.” Journal of Asian Economics 28: 12–27. doi:10.1016/j.asieco.2013.04.004.
  • Yaya, O. S., A. Ogbonna, and N. V. Atoi. 2019. “Are Inflation Rates in OECD Countries Actually Stationary during 2011-2018? Evidence Based on Fourier Nonlinear Unit Root Tests with Break.”
  • Yaya, O. S., A. E. Ogbonna, F. Furuoka, and L. A. Gil‐Alana. 2021. “A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network.” Oxford Bulletin of Economics and Statistics 83 (4): 960–981. doi:10.1111/obes.12422.

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