Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing
Source of Publication
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.
Springer Science and Business Media LLC
Business | Computer Sciences
Bootstrap, Flexible Fourier form, Heterogeneous fractional frequency, Panel unit root, Structural break
Omay, Tolga and Iren, Perihan, "Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing" (2021). All Works. 4649.
Indexed in Scopus