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

被引：90
作者：
Omay, Tolga [1 ]
机构：
[1] Cankaya Univ, Dept Banking & Finance, Km, Turkey
来源：
ECONOMICS LETTERS | 2015年 / 134卷
关键词：
Fractional Frequency Flexible Fourier Form; Structural break; Nonlinear trend; Unit root;
D O I：
10.1016/j.econlet.2015.07.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：123 / 126
页数：4
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