Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
Author:
Affiliation:
1. Faculty of Economics, University of Navarra, Pamplona, Spain
2. Universidad Francisco de Vitoria, Madrid, Spain
3. Economic and Finance Statistics Unit, Department of Statistics, University of Ibadan, Ibadan, Nigeria
Funder
Ministerio de Ciencia y Tecnología
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/02664763.2020.1757047
Reference69 articles.
1. Term Structure Persistence
2. Computation and analysis of multiple structural change models
3. Long memory processes and fractional integration in econometrics
4. A general test for time dependence in parameters
5. A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
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