Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing
2015
Omay, Tolga
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.
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Bibliographic information
Economics letters
Volume
134
Pagination
123
- 126
ISSN
0165-1765
Publisher
Elsevier B.V.
Other Subjects
Unit root; E4; Nonlinear trend; C12; Fractional frequency flexible fourier form; Structural break
Language
English
Type
Journal Article; Text
2024-02-28
MODS
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