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

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Date
2023-01
Authors
Omay, Tolga
Iren, Perihan
Journal Title
Journal ISSN
Volume Title
Publisher
Computational Economics
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.
Description
Published 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.
Keywords
Heterogeneous fractional frequency; Flexible Fourier form; Panel unit root; Structural break; Bootstrap
Citation
http://hdl.handle.net/20.500.14411/1978
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