Testing fractional unit roots with non-linear smooth break approximations using Fourier functions

Luis Gil-Alana and Olaoluwa Yaya

Journal of Applied Statistics, 2021, vol. 48, issue 13-15, 2542-2559

Abstract: In this paper, we present a testing procedure for fractional orders of integration in the context of non-linear terms approximated by Fourier functions. The test statistic has an asymptotic standard normal distribution and several Monte Carlo experiments conducted in the paper show that it performs well in finite samples. Various applications using real life time series, such as US unemployment rates, US GNP and Purchasing Power Parity (PPP) of G7 countries are presented at the end of the paper.

Date: 2021
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Citations: View citations in EconPapers (32)

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Working Paper: Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions (2018)
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DOI: 10.1080/02664763.2020.1757047

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