Article
Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing
Computational Economics
Document Type
Article
Publication Date
1-1-2021
Abstract
This study aims to show the consequences of a restrictive homogeneity assumption of frequency in heterogeneous panel unit root and cointegration testing with Flexible Fourier Form. For this purpose, we use a simple panel unit root and residual based cointegration test with Flexible Fourier Form in a heterogeneous frequency setting using a bootstrap algorithm. The power of the test statistics and empirical analysis results indicate that failing to take into account a heterogeneous frequency may lead to misleading inferences, thereby leading to misspecified tests and erroneous conclusions concerning the stochastic behavior of the data in the panel sample.
DOI Link
10.1007/s10614-021-10205-7
Publisher
Springer Science and Business Media LLC
Disciplines
Keywords
- Bootstrap,
- Flexible Fourier form,
- Heterogeneous fractional frequency,
- Panel unit root,
- Structural break
Scopus ID
85118325431
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1007/s10614-021-10205-7
Citation Information
Tolga Omay and Perihan Iren. "Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing" Computational Economics (2021) ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/0927-7099" target="_blank">0927-7099</a> Available at: http://works.bepress.com/perihan-iren/13/