Regulated seasonal unit root process
Küçük Resim Yok
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Walter De Gruyter Gmbh
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Unfortunately, time series problems do not appear in data singly. We focus on the joint occurrence of nonstationarity, seasonality and bounded data. Seasonal unit root tests and bounded unit root tests already exist in the literature, yet when all these issues are combined their performance needs improvement. That is why we offer a testing procedure for bounded seasonal unit root processes. The combination of these tests is not straightforward as the nonlinearity coming from bounds causes the limiting distribution of the proposed test statistic to be multivariate Brownian motion while the others have univariate distributions. The simulation exercises reveal that the existing tests, which ignores the presence of bounds or seasonality, suffer significant size problems. Our statistic removes the size distortions and also maintain satisfactory power performance.
Açıklama
Anahtar Kelimeler
Regulated Brownian Motion, Regulated Time Series, Seasonal Unit Roots, Efficient Tests, Selection
Kaynak
Studies in Nonlinear Dynamics and Econometrics
WoS Q Değeri
Q4
Scopus Q Değeri
Q2
Cilt
26
Sayı
3
