Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing
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Date
2015
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Open Access Color
Green Open Access
No
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Publicly Funded
No
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Impulse
Top 10%
Influence
Top 10%
Popularity
Top 1%
Abstract
In this study, a Fractional Frequency Flexible Fourier Form DF-type unit root test is proposed. The small sample properties of the proposed test are found to be better than that of the integer frequency counterpart. •Fractional Frequency Flexible Fourier Form-DF-type of unit root test is proposed.•The small sample properties of FFFFF-DF-type test are better than EL test.•FFFFF-DF-type test improves the empirical testing performance.•FFFFF-DF-type test prevents type two errors and over-filtration problems.
Description
Keywords
Fractional Frequency Flexible Fourier Form, Nonlinear Trend, Structural Break, Unit Root
Fields of Science
0502 economics and business, 05 social sciences
Citation
Omay, Tolga (2015). "Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing", Economics Letters, Vol. 134, pp. 123-126.
WoS Q
Q2
Scopus Q
OpenCitations Citation Count
108
Source
Economics Letters
Volume
134
Issue
Start Page
123
End Page
126
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CrossRef : 34
Scopus : 87
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Mendeley Readers : 33
