The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD

Bahmani‐Oskooee, Mohsen; Chang, Tsangyao; Ranjbar, Omid

doi:10.3790/aeq.63.3.295

Cited by 25 publications

(16 citation statements)

References 31 publications

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“…How do the results change if we apply Fourier Quantile Unit Root (FQUR) test of Bahmani‐Oskooee et al . ()? The results are reported in Table which also includes the results for optimum frequency of breaks (k * ) in equation .…”

Section: Resultsmentioning

confidence: 99%

“…Let y t be the real interest rate differential between country i and a reference country like the USA to be measured later, Bahmani‐Oskooee et al . () first recommend applying OLS to the following fourier function:

y_{t} = γ_{0} + γ_{1} \sin (\frac{2 π k t}{T}) + γ_{2} \cos (\frac{2 π k t}{T}) + ε_{t}

Where γ 0 is intercept, γ 1 and γ 2 measure the amplitude and displacement of the frequency component. Additionally, k is optimal frequency at which breaks may take place.…”

Section: Fourier Quantile Unit Root Test (Fqur)mentioning

confidence: 99%

“…Bahmani‐Oskooee et al . () recommended the following Kolmogorov–Smirnov (QRS) test to assess the unit root behaviour over a range of quantiles:

QKS = {sup}_{τ_{i} \in false[\underset{̲}{μ}, \bar{μ} false]} false| t_{n} (τ) false|

…”

Section: Fourier Quantile Unit Root Test (Fqur)mentioning

confidence: 99%

“…The limiting distributions of t n (τ i ) and QKS test statistics are non‐standard, hence we derive critical values for the above mentioned test using Bahmani‐Oskooee et al . () re‐sampling procedures.…”

Section: Fourier Quantile Unit Root Test (Fqur)mentioning

confidence: 99%

“…Recently Bahmani‐Oskooee et al . () combined the two concepts and introduced a unique quantile unit root test that is capable of capturing multiple unknown breaks. Our main purpose in this paper is to apply that test to determine if real interests across OECD countries and BRICS converge.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

Real Interest Rate Parity and Fourier Quantile Unit Root Test

Bahmani‐Oskooee

Chang

Elmi

et al. 2018

Bulletin of Econ Res

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Real interest rate differentials usually exhibit two properties; structural breaks and asymmetric dynamics. In this paper, we use various types of Quantile Unit Root Test (QURT) which accounts for both properties. Unlike previous research, we reject the unit root in the real interest rate differentials in 18 out of 21 OECD countries as well as in 4 out of 5 BRICS countries using QURT with sharp and smooth breaks.

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Section: Resultsmentioning

confidence: 99%

y_{t} = γ_{0} + γ_{1} \sin (\frac{2 π k t}{T}) + γ_{2} \cos (\frac{2 π k t}{T}) + ε_{t}

Where γ 0 is intercept, γ 1 and γ 2 measure the amplitude and displacement of the frequency component. Additionally, k is optimal frequency at which breaks may take place.…”