A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks*
提出一种基于傅里叶级数低频成分的单位根检验方法，无需精确设定结构突变形式，适用于经济分析中常见的平滑突变，并通过利率利差数据展示其应用。
Abstract We develop a unit‐root test based on a simple variant of Gallant's (1981) flexible Fourier form. The test relies on the fact that a series with several smooth structural breaks can often be approximated using the low frequency components of a Fourier expansion. Hence, it is possible to test for a unit root without having to model the precise form of the break. Our unit‐root test employing Fourier approximation has good size and power for the types of breaks often used in economic analysis. The appropriate use of the test is illustrated using several interest rate spreads.