Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predicta...
Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
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Cham: Springer International Publishing
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English
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Cham: Springer International Publishing
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In this study we propose a fractional frequency flexible Fourier form fractionally integrated ADF unit-root test, which combines the fractional integration and nonlinear trend as a form of the Fourier function. We provide the asymptotics of the newly proposed test and investigate its small-sample properties. Moreover, we show the best estimators fo...
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Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
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TN_cdi_doaj_primary_oai_doaj_org_article_2b87f23340d044af815e1194bfac760a
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_2b87f23340d044af815e1194bfac760a
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ISSN
1687-1847,1687-1839
E-ISSN
1687-1847
DOI
10.1186/s13662-021-03317-9
