Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing

Tolga Omay

Economics Letters, 2015, vol. 134, issue C, 123-126

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.

Keywords: Fractional Frequency Flexible Fourier Form; Structural break; Nonlinear trend; Unit root (search for similar items in EconPapers)
JEL-codes: C12 E4 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (50)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:134:y:2015:i:c:p:123-126

DOI: 10.1016/j.econlet.2015.07.010

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