Fractional Unit-Root Tests Allowing for a Fractional Frequency Flexible Fourier Form Trend: Predictability of Covid-19
| dc.contributor.author | Omay, Tolga | |
| dc.contributor.author | Baleanu, Dumitru | |
| dc.contributor.other | Economics | |
| dc.contributor.other | 05. School of Business | |
| dc.contributor.other | 01. Atılım University | |
| dc.date.accessioned | 2024-07-05T15:21:23Z | |
| dc.date.available | 2024-07-05T15:21:23Z | |
| dc.date.issued | 2021 | |
| dc.description | Baleanu, Dumitru/0000-0002-0286-7244; Omay, Tolga/0000-0003-0263-2258 | en_US |
| dc.description.abstract | 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 for both fractional frequency and fractional difference operator for our newly proposed test. Finally, an empirical study demonstrates that not considering the structural break and fractional integration simultaneously in the testing process may lead to misleading results about the stochastic behavior of the Covid-19 pandemic. | en_US |
| dc.identifier.doi | 10.1186/s13662-021-03317-9 | |
| dc.identifier.issn | 1687-1847 | |
| dc.identifier.scopus | 2-s2.0-85102596690 | |
| dc.identifier.uri | https://doi.org/10.1186/s13662-021-03317-9 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14411/2074 | |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.relation.ispartof | Advances in Difference Equations | |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Structural break | en_US |
| dc.subject | Stochastic fractional difference equation | en_US |
| dc.subject | Stationarity | en_US |
| dc.subject | Covid-19 forecast | en_US |
| dc.title | Fractional Unit-Root Tests Allowing for a Fractional Frequency Flexible Fourier Form Trend: Predictability of Covid-19 | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Baleanu, Dumitru/0000-0002-0286-7244 | |
| gdc.author.id | Omay, Tolga/0000-0003-0263-2258 | |
| gdc.author.institutional | Omay, Tolga | |
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| gdc.author.wosid | Baleanu, Dumitru/B-9936-2012 | |
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| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [Omay, Tolga] Atilim Univ, Dept Econ, TR-06830 Ankara, Turkey; [Baleanu, Dumitru] Cankaya Univ, Dept Math, TR-06530 Ankara, Turkey; [Baleanu, Dumitru] Inst Space Sci, Magurele, Romania | en_US |
| gdc.description.issue | 1 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.volume | 2021 | en_US |
| gdc.description.wosquality | Q1 | |
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| gdc.identifier.pmid | 33747069 | |
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| gdc.oaire.keywords | Stationarity | |
| gdc.oaire.keywords | Social Sciences | |
| gdc.oaire.keywords | Estimator | |
| gdc.oaire.keywords | Mathematical analysis | |
| gdc.oaire.keywords | Quantum mechanics | |
| gdc.oaire.keywords | Stochastic fractional difference equation | |
| gdc.oaire.keywords | Theory and Applications of Option Pricing Models | |
| gdc.oaire.keywords | QA1-939 | |
| gdc.oaire.keywords | FOS: Mathematics | |
| gdc.oaire.keywords | Structural break | |
| gdc.oaire.keywords | Anomalous Diffusion Modeling and Analysis | |
| gdc.oaire.keywords | Covid-19 forecast | |
| gdc.oaire.keywords | Research | |
| gdc.oaire.keywords | Physics | |
| gdc.oaire.keywords | Statistics | |
| gdc.oaire.keywords | Fractional calculus | |
| gdc.oaire.keywords | Applied mathematics | |
| gdc.oaire.keywords | Predictability | |
| gdc.oaire.keywords | Economics, Econometrics and Finance | |
| gdc.oaire.keywords | Fractional Derivatives | |
| gdc.oaire.keywords | Unit root | |
| gdc.oaire.keywords | Modeling and Forecasting Financial Volatility | |
| gdc.oaire.keywords | Modeling and Simulation | |
| gdc.oaire.keywords | Physical Sciences | |
| gdc.oaire.keywords | Fourier transform | |
| gdc.oaire.keywords | Nonlinear system | |
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