Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing

Author First name, Last name, Institution

Tolga Omay, Atilim University
Perihan Iren, Zayed University

Document Type

Article

Source of Publication

Computational Economics

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

ISSN

0927-7099

Publisher

Springer Science and Business Media LLC

Disciplines

Business | Computer Sciences

Keywords

Bootstrap, Flexible Fourier form, Heterogeneous fractional frequency, Panel unit root, Structural break

Scopus ID

85118325431

Recommended Citation

Omay, Tolga and Iren, Perihan, "Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing" (2021). All Works. 4649.
https://zuscholars.zu.ac.ae/works/4649

Indexed in Scopus

yes

Open Access

no