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Fractional frequency flexible Fourier form (FFFFF) for panel cointegration test

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  • Richard Olaolu Olayeni
  • Aviral Kumar Tiwari
  • Mark E. Wohar

Abstract

In this article, we introduce a new panel cointegration test that is robust to nonlinearity, structural breaks and cross-sectional dependency. In an empirical illustration, we tested the Feldstein–Horioka paradox for 15 Asian countries, one of the most debated topics in international macroeconomics. We find that Indonesia, Philippine, Bangladesh, Japan, Thailand and China are not among the countries generating cointegration in the cross section.

Suggested Citation

  • Richard Olaolu Olayeni & Aviral Kumar Tiwari & Mark E. Wohar, 2021. "Fractional frequency flexible Fourier form (FFFFF) for panel cointegration test," Applied Economics Letters, Taylor & Francis Journals, vol. 28(6), pages 482-486, March.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:6:p:482-486
    DOI: 10.1080/13504851.2020.1761526
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    Cited by:

    1. Fareed, Zeeshan & Pata, Ugur Korkut, 2022. "Renewable, non-renewable energy consumption and income in top ten renewable energy-consuming countries: Advanced Fourier based panel data approaches," Renewable Energy, Elsevier, vol. 194(C), pages 805-821.
    2. Zhang, Yue-Jun & Zhang, Han, 2023. "Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?," International Review of Financial Analysis, Elsevier, vol. 85(C).
    3. Seda Yıldırım & Durmuş Çağrı Yıldırım & Seda H. Bostancı & Elif Nur Tarı, 2022. "Winner or loser? The asymmetric role of natural resource rents on financial development among resource‐rich countries," Sustainable Development, John Wiley & Sons, Ltd., vol. 30(6), pages 1921-1933, December.
    4. Veli Yilanci & Muhammed Sehid Gorus & Sakiru Adebola Solarin, 2022. "Convergence in per capita carbon footprint and ecological footprint for G7 countries: Evidence from panel Fourier threshold unit root test," Energy & Environment, , vol. 33(3), pages 527-545, May.
    5. Lin-Hong Zheng & Nor Eeza Zainal Abidin & Mohammad Nazri Mohd Nor & Yue-Yun Xu & Xiao-Wei Feng, 2023. "Sustainable Coupling Coordination and Influencing Factors of Sports Facilities Construction and Social Economy Development in China," Sustainability, MDPI, vol. 15(3), pages 1-17, February.

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