Essays about: "Fractional frequency flexible Fourier form"

Found 1 essay containing the words Fractional frequency flexible Fourier form.

  1. 1. On the use of integer and fractional flexible Fourier form Dickey-Fuller unit root tests

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Marcus Nordström; [2018]
    Keywords : Fractional frequency flexible Fourier form; Unit root test; Structural break; Smooth break; Nonlinear trend; Business and Economics;

    Abstract : In this paper we propose the use of a new set of conservative critical values for the flexible Fourier form Dickey-Fuller unit root test when the Fourier frequency is estimated. We consider both the integer frequency and the fractional frequency version of the test and investigate their size and power properties. READ MORE