The Fourier approach and testing for cointegration in LSTAR model

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dc.contributor.authorSedefoğlu, Gülşah
dc.contributor.authorGüriş, Burak
dc.date.accessioned2024-04-01T11:49:29Z
dc.date.available2024-04-01T11:49:29Z
dc.date.issued2024en_US
dc.departmentFakülteler, İnsan ve Toplum Bilimleri Fakültesi, İstatistik Bölümüen_US
dc.description.abstractThis paper proposes a new logistic smooth transition autoregressive (LSTAR) cointegration test by combining the Fourier function to catch the structural changes that occur over time and the LSTAR model to consider the nonlinearity. Logistic and exponential functions are the main transition functions defining the nonlinearity in STAR models since the exponential smooth transition autoregressive (ESTAR) and LSTAR models can explain the different structures of economic variables. The Fourier approach is a simple and effective way to model the structural changes in time series as an alternative to dummy variables. The most significant advantage of the method is that it does not require prior knowledge about the date, number of breaks, or forms. Monte Carlo simulation results show that the proposed test has good size and power properties for different sample sizes and parameters. The results also revealed that the power performance of the proposed test and the Fourier ESTAR test offered by Güriş and Sedefoğlu (2022) are close to each other. The steps of the Fourier-based tests are illustrated by providing an empirical example of testing the validity of the purchasing power parity (PPP) hypothesis in Türkiye.en_US
dc.identifier.doi10.3233/MAS-231468en_US
dc.identifier.endpage79en_US
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85188741490en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.startpage71en_US
dc.identifier.urihttps://hdl.handle.net/11467/7217
dc.identifier.urihttps://doi.org/10.3233/MAS-231468
dc.identifier.volume19en_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherIOS Press BVen_US
dc.relation.ispartofModel Assisted Statistics and Applicationsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/restrictedAccessen_US
dc.subjectCointegration, fourier approach, LSTAR model, structural changesen_US
dc.titleThe Fourier approach and testing for cointegration in LSTAR modelen_US
dc.typeArticleen_US

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