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 · 2021
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.
Open access
Research Article
10.9734/ajpas/2021/v14i130321