Asymptotic Distribution of Unit Root Tests Base on ESTAR Model with Flexible Fourier Form
Murtala Adam Muhammad *
School of Science, Zhejiang University of Science and Technology, Hangzhou 310023, China.
Junjuan Hu
School of Science, Zhejiang University of Science and Technology, Hangzhou 310023, China.
*Author to whom correspondence should be addressed.
Abstract
In this paper, the asymptotic distribution of Fourier ESTAR model (FKSS) proposed by [1], which was not given in the original paper are derived. Result shows that the asymptotic distributions are functions of brownian motion, only depends on K and free from nuisance parameters.
Keywords: Structural break, Nonlinear unit root tests, Flexible Fourier form