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

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  • Omay, Tolga

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.

Suggested Citation

  • Omay, Tolga, 2015. "Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing," Economics Letters, Elsevier, vol. 134(C), pages 123-126.
    • Handle: RePEc:eee:ecolet:v:134:y:2015:i:c:p:123-126
    DOI: 10.1016/j.econlet.2015.07.010
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    References listed on IDEAS

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    1. Paulo M. M. Rodrigues & A. M. Robert Taylor, 2012. "The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 736-759, October.
    2. Walter Enders & Junsoo Lee, 2012. "A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(4), pages 574-599, August.
    3. Enders, Walter & Lee, Junsoo, 2012. "The flexible Fourier form and Dickey–Fuller type unit root tests," Economics Letters, Elsevier, vol. 117(1), pages 196-199.
    4. Ralf Becker & Walter Enders & Junsoo Lee, 2006. "A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 381-409, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Fractional Frequency Flexible Fourier Form; Structural break; Nonlinear trend; Unit root;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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