Fourier Unit Root Test by Enders & Lee (2012b)*

[Abhijit Lahiri]

Hi,
I want to know the F-test statistic and its corresponding p-value for the test of linearity for the Fourier ADF unit root test by Enders & Lee (2012b). I am using fourierur package and the command I am using is :
fourierdf ex, kmax(3) pmax(8) ic(1) model(2)

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Fourier ADF Unit Root Test
Enders & Lee (2012b), Economics Letters 117:196-199
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Variable: ex T=142
Model: Constant + Trend (Model 2)
Pmax=8 Kmax=3 IC=1
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Fourier ADF test (Enders & Lee, 2012b)
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Optimal frequency k = 3
Optimal lag p = 1
ADF statistic = -2.772

Critical Values (T=142, model=2, k=3):
1% : -4.450
5% : -3.780
10% : -3.440

not significant
Conclusion: Cannot reject unit root null

I want the F-Stat for the joint significance of the fourier terms.
Please guide me.

[Nick Cox]

This package has just appeared on SSC. Please explain details like that.