Bounded unit root processes with non-stationary volatility

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dc.authoridEroğlu, Burak Alparslan/0000-0001-6814-747X|Gogebakan, Kemal Caglar/0000-0001-5556-4194
dc.authorwosidEroğlu, Burak Alparslan/HSH-2428-2023
dc.authorwosidEroğlu, Burak Alparslan/A-8187-2019
dc.contributor.authorGogebakan, Kemal Caglar
dc.contributor.authorEroglu, Burak Alparslan
dc.date.accessioned2024-07-18T20:55:12Z
dc.date.available2024-07-18T20:55:12Z
dc.date.issued2023
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis article concerns the unit root testing under nonstandard conditions for a time series process, such as having an innovation process with non-stationary variance and being limited inside an interval. These conditions are investigated separately in the unit root literature and shown to cause problems, such as size distortions. In this article, we consider the presence of both conditions in the unit root tests simultaneously. The simulation results indicate that the previous methods fail to provide satisfactory inference performance under the simultaneous presence of these conditions. To alleviate this issue, we propose a robust unit root testing mechanism and derive this procedure's asymptotic properties.en_US
dc.identifier.doi10.1080/03610918.2021.1879139
dc.identifier.endpage1263en_US
dc.identifier.issn0361-0918
dc.identifier.issn1532-4141
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-85100756955en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpage1245en_US
dc.identifier.urihttps://doi.org/10.1080/03610918.2021.1879139
dc.identifier.urihttps://hdl.handle.net/11411/8773
dc.identifier.volume52en_US
dc.identifier.wosWOS:000616196700001en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherTaylor & Francis Incen_US
dc.relation.ispartofCommunications in Statistics-Simulation and Computationen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectLimited Processen_US
dc.subjectNon-Stationary Volatilityen_US
dc.subjectUnit Rooten_US
dc.titleBounded unit root processes with non-stationary volatility
dc.typeArticle

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