Bankacılık ve Finans Bölümü Yayın Koleksiyonu

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Author: search.filters.author.Omay, TolgaSubject: search.filters.subject.Structural Break

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  • Article
    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. •Fractional Frequency Flexible Fourier Form-DF-type of unit root test is proposed.•The small sample properties of FFFFF-DF-type test are better than EL test.•FFFFF-DF-type test improves the empirical testing performance.•FFFFF-DF-type test prevents type two errors and over-filtration problems.
  • Article
    Citation - WoS: 96
    Citation - Scopus: 96
    Fractional Frequency Flexible Fourier Form To Approximate Smooth Breaks in Unit Root Testing
    (Elsevier Science Sa, 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. (C) 2015 Elsevier B.V. All rights reserved.