Non-parametric seasonal unit root tests under periodic non-stationary volatility

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dc.contributor.authorEroğlu, Burak Alparslan
dc.date.accessioned2022-10-12T08:25:07Z
dc.date.available2022-10-12T08:25:07Z
dc.date.issued2022-11
dc.description.abstractAbstract: This paper presents a new non-parametric seasonal unit root testing framework that is robust to periodic non-stationary volatility in innovation variance by making an extension to the fractional seasonal variance ratio unit root tests of Eroğlu et al. (Econ Lett 167:75–80, 2018). The setup allows for both periodic heteroskedasticity structure of Burridge and Taylar (J Econ 104(1):91–117, 2001) and non-stationary volatility structure of Cavaliere and Taylor (Econ Theory 24(1):43-71, 2008). We show that the limiting null distributions of the variance ratio tests depend on nuisance parameters derived from the underlying volatility process. Monte Carlo simulations show that the standard variance ratio tests can be substantially oversized in the presence of such effects. Consequently, we propose wild bootstrap implementations of the variance ratio tests. Wild bootstrap resampling schemes are shown to deliver asymptotically pivotal inference. The simulation evidence depicts that the proposed bootstrap tests perform well in practice and essentially correct the size problems observed in the standard fractional seasonal variance ratio tests, even under extreme patterns of heteroskedasticity. © 2022, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.1007/s00180-022-01211-wen_US
dc.identifier.issn0943-4062
dc.identifier.pmid35283559en_US
dc.identifier.scopus2-s2.0-85125753283en_US
dc.identifier.urihttps://hdl.handle.net/11411/4564
dc.identifier.urihttps://doi.org/10.1007/s00180-022-01211-w
dc.identifier.wosWOS:000765733900002en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakPubMeden_US
dc.issue5en_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors2en_US
dc.pages2581 - 2636en_US
dc.publisherSpringer Science and Business Media Deutschland GmbHen_US
dc.relation.ispartofComputational Statisticsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectNon-stationary volatilityen_US
dc.subjectSeasonal unit rooten_US
dc.subjectVariance ratioen_US
dc.subjectWild bootstrapen_US
dc.titleNon-parametric seasonal unit root tests under periodic non-stationary volatilityen_US
dc.typeArticleen_US
dc.volume37en_US

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