Smooth Break Detection and De-Trending in Unit Root Testing

Smooth Break Detection and De-Trending in Unit Root Testing

This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of powe...

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Bibliographic Details
Main Authors: Furkan Emirmahmutoglu, Tolga Omay, Syed Jawad Hussain Shahzad, Safwan Mohd Nor
Format: Article
Language:English
Published: MDPI AG 2021-02-01
Series:Mathematics
Subjects:
structural break
nonlinear unit root tests
flexible Fourier form
smooth transition regression
Online Access:https://www.mdpi.com/2227-7390/9/4/371

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https://www.mdpi.com/2227-7390/9/4/371

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