article.page.titleprefix
Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing

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dc.contributor.authorOmay, Tolga
dc.contributor.authorIren, Perihan
dc.date.accessioned2024-01-21T10:57:30Z
dc.date.available2024-01-21T10:57:30Z
dc.date.issued2023-01
dc.descriptionPublished by Computational Economics; https://doi.org/10.1007/s10614-021-10205-7; Tolga Omay, Atilim University, Ankara, Turkey; Perihan Iren, Zayed University, Abu Dhabi, UAE.
dc.description.abstractThis 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.
dc.identifier.citationhttp://hdl.handle.net/20.500.14411/1978
dc.identifier.issn1572-9974
dc.identifier.urihttps://doi.org/10.1007/s10614-021-10205-7
dc.language.isoen
dc.publisherComputational Economics
dc.relation.ispartofseries61
dc.subjectHeterogeneous fractional frequency; Flexible Fourier form; Panel unit root; Structural break; Bootstrap
dc.titleControlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing
dc.typeArticle
dspace.entity.typeArticle

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