Fractional frequency flexible Fourier form to approximate smooth breaks in unit root testing

DOI10.1016/J.ECONLET.2015.07.010zbMath1364.62278OpenAlexW1934026049MaRDI QIDQ529834

Tolga Omay

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.07.010

zbMATH Keywords

unit rootstructural breakfractional frequency flexible Fourier formnonlinear trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19 ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ On the performance of the variance ratio unit root tests with flexible Fourier form

Cites Work

• The flexible Fourier form and Dickey-Fuller type unit root tests
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• Unnamed Item

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