Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing
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Date
2015
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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. •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.
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Keywords
Fractional Frequency Flexible Fourier Form, Nonlinear Trend, Structural Break, Unit Root
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Citation
Omay, Tolga (2015). "Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing", Economics Letters, Vol. 134, pp. 123-126.
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100
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Economics Letters
Volume
134
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Start Page
123
End Page
126
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