Fractional frequency flexible fourier form to approximate smoothbreaks in unit root testing
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Date
2015
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Elsevier Science SA
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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.
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Keywords
Fractional Frequency Flexible Fourier Form, Structural Break, Nonlinear Trend, Unit Root
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Citation
Omay, Tolga, "Fractional frequency flexible fourier form to approximate smoothbreaks in unit root testing" Economic Letters, Vol.134, pp.123-126 (2015).
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Source
Economic Letters
Volume
134
Issue
Start Page
123
End Page
126