Testing fractional unit roots with non-linear smooth break approximations using Fourier functions

被引：59

作者：

Gil-Alana, Luis A. ^{[1
,2
]}

Yaya, OlaOluwa S. ^{[3
]}

机构：

[1] Univ Navarra, Fac Econ, Pamplona, Spain

[2] Univ Francisco de Vitoria, Madrid, Spain

[3] Univ Ibadan, Dept Stat, Econ & Finance Stat Unit, Ibadan, Nigeria

来源：

JOURNAL OF APPLIED STATISTICS | 2021年 / 48卷 / 13-15期

关键词：

Fractional unit root; Chebyshev polynomial; Monte Carlo simulation; nonlinearity; smooth break; Fourier transform; LONG-RANGE DEPENDENCE; TREND STATIONARITY; EFFICIENT TESTS; TIME-SERIES; INTEGRATION; MEMORY; FORM; CYCLES; MODEL; POWER;

D O I：

10.1080/02664763.2020.1757047

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we present a testing procedure for fractional orders of integration in the context of non-linear terms approximated by Fourier functions. The test statistic has an asymptotic standard normal distribution and several Monte Carlo experiments conducted in the paper show that it performs well in finite samples. Various applications using real life time series, such as US unemployment rates, US GNP and Purchasing Power Parity (PPP) of G7 countries are presented at the end of the paper.

引用

页码：2542 / 2559

页数：18

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