Alternative unit root testing strategies using the Fourier approximation

2013 ◽  
Vol 121 (1) ◽  
pp. 8-11
Author(s):  
Jen-Je Su ◽  
Jeremy K. Nguyen
Keyword(s):  
Unit Root ◽  
Fourier Approximation ◽  
Testing Strategies ◽  
Unit Root Testing

On Trend Breaks and Initial Condition in Unit Root Testing

2017 ◽  
Vol 10 (1) ◽  
Author(s):  
Anton Skrobotov
Keyword(s):  
Unit Root ◽  
Initial Conditions ◽  
Initial Condition ◽  
Testing Strategies ◽  
Unit Root Testing ◽  
Trend Breaks

AbstractRecent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. “Unit Root Testing under a Local Break in Trend.”

scholarly journals THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

2020 ◽  
Vol 8 (4) ◽  
pp. 409-423
Author(s):  
Sümeyra GAZEL
Keyword(s):  
Developing Countries ◽  
Unit Root ◽  
Structural Break ◽  
Unit Root Test ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Developed Countries ◽  
Exchange Traded Funds ◽  
Unit Root Testing ◽  
Daily Data

In this study, weak form efficiency of the Exchange Traded Funds (ETF) in the Morgan Stanley Capital International (MSCI) Index of developed and developing countries is tested. The Fourier Unit Root test, which does not lose its predictive power in terms of structural break date, number and form, is used on daily data. Also, conventional unit root tests are used for comparison between two different tests. Analysis results indicate common findings in some countries for both unit root testing. However, the Fourier unit root test results relatively more support the assumption of efficient market hypothesis that developed countries may be more efficient than developing countries.

scholarly journals exuber: Recursive Right-Tailed Unit Root Testing with R

2020 ◽  
Vol 2020 (383) ◽  
Author(s):  
Kostas Vasilopoulos ◽  
◽  
Efthymios Pavlidis ◽  
Enrique Martínez-García ◽  
◽  
...  
Keyword(s):  
Unit Root ◽  
Unit Root Testing
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