Asymptotic Distribution of Unit Root Tests Base on ESTAR Model with Flexible Fourier Form
Murtala Adam Muhammad, Junjuan Hu
Asian Journal of Probability and Statistics · pp. 41–51 · Published 29 Jul 2021
10.9734/ajpas/2021/v14i130321Abstract
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.
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