On the use of integer and fractional flexible Fourier form Dickey-Fuller unit root tests
In this paper we propose the use of a new set of conservative critical values for the flexible Fourier form Dickey-Fuller unit root test when the Fourier frequency is estimated. We consider both the integer frequency and the fractional frequency version of the test and investigate their size and power properties. We find that the integer frequency test sometimes has zero power when the determinist