UNIT ROOT TESTS WHEN THE DATA ARE A TRIGONOMETRIC TRANSFORMATION OF AN INTEGRATED PROCESS

摘要

This study establishes analytically what the asymptotic behavior of the Dickey-Fuller coefficient tests and the Dickey-Fuller t-statistic tests will be when the true data-generating process is a trigonometric function of an integrated process. Using some recently established limit theorems, it is shown that for such a data generating process, the asymptotic behavior of these unit root tests is reminiscent of that of a stationary series. These results confirm analytically the conclusions of Granger and Hallman in an earlier paper. The results of this paper are applied to the Fourier flexible form methodology.