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
Publisher
Elsevier B.V.
Other Subjects
Nonlinear trend; Unit root; C12; E4; Structural break; Fractional frequency flexible fourier form
Language
English
Type
Journal Article; Text
2024-02-28
MODS
Data Provider
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