High Persistence and Nonlinear Behavior in Financial Variables: A More Powerful Unit Root Testing in the ESTAR Framework

High Persistence and Nonlinear Behavior in Financial Variables: A More Powerful Unit Root Testing in the ESTAR Framework

In this study, we consider the hybrid nonlinear features of the Exponential Smooth Transition Autoregressive-Fractional Fourier Function (ESTAR-FFF) form unit root test. As is well known, when developing a unit root test for the ESTAR model, linearization is performed by the Taylor approximation, an...

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Bibliographic Details
Main Authors: Tolga Omay, Aysegul Corakci, Esra Hasdemir
Format: Article
Language:English
Published: MDPI AG 2021-10-01
Series:Mathematics
Subjects:
ESTAR
unit root
fractional frequency fourier function
near unit root
high persistency
nonlinear financial variables
Online Access:https://www.mdpi.com/2227-7390/9/20/2534

Internet

https://www.mdpi.com/2227-7390/9/20/2534

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