On the performance of the variance ratio unit root tests with flexible Fourier form
Author:
Affiliation:
1. Faculty of Business, Department of Economics, İstanbul Bilgi University, İstanbul, Turkey
2. FEAS, Department of Economics, Anadolu University, Eskişehir, Turkey
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/02664763.2020.1796939
Reference28 articles.
1. A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
2. Nonparametric tests for unit roots and cointegration
3. Cointegration and Tests of Present Value Models
4. GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
5. Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates
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1. Editorial to the special issue: Recent statistical methods for data analysis, applied economics, business & finance;Journal of Applied Statistics;2021-10-25
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