Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
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Date
2021
Authors
Omay, Tolga
Baleanu, Dumitru
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Abstract
In this study we propose a fractional frequency flexible Fourier form fractionally integrated ADF unit-root test, which combines the fractional integration and nonlinear trend as a form of the Fourier function. We provide the asymptotics of the newly proposed test and investigate its small-sample properties. Moreover, we show the best estimators for both fractional frequency and fractional difference operator for our newly proposed test. Finally, an empirical study demonstrates that not considering the structural break and fractional integration simultaneously in the testing process may lead to misleading results about the stochastic behavior of the Covid-19 pandemic. © 2021, The Author(s).
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Covid-19 Forecast, Stationarity, Stochastic Fractional Difference Equation, Structural Break
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Omay, Tolga; Baleanu, Dumitru (2021). "Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19", Advances in Difference Equations, Vol. 2021, No. 1.
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Source
Advances in Difference Equations
Volume
2021
Issue
1