Regulated seasonal unit root process

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dc.authoridEroğlu, Burak Alparslan/0000-0001-6814-747X
dc.authorwosidEroğlu, Burak Alparslan/HSH-2428-2023
dc.authorwosidEroğlu, Burak Alparslan/A-8187-2019
dc.contributor.authorEroglu, Burak Alparslan
dc.contributor.authorPehlivan, Ayse Ozgur
dc.date.accessioned2024-07-18T20:49:08Z
dc.date.available2024-07-18T20:49:08Z
dc.date.issued2022
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractUnfortunately, 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.en_US
dc.description.sponsorshipScientific and Technological Research Council of Turkey [117K261]en_US
dc.description.sponsorshipThe authors thank for the support of The Scientific and Technological Research Council of Turkey. This study is funded under project no: 117K261.en_US
dc.identifier.doi10.1515/snde-2019-0110
dc.identifier.endpage385en_US
dc.identifier.issn1081-1826
dc.identifier.issn1558-3708
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85109039286en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage361en_US
dc.identifier.urihttps://doi.org/10.1515/snde-2019-0110
dc.identifier.urihttps://hdl.handle.net/11411/8097
dc.identifier.volume26en_US
dc.identifier.wosWOS:000739615500001en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWalter De Gruyter Gmbhen_US
dc.relation.ispartofStudies in Nonlinear Dynamics and Econometricsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectRegulated Brownian Motionen_US
dc.subjectRegulated Time Seriesen_US
dc.subjectSeasonal Unit Rootsen_US
dc.subjectEfficient Testsen_US
dc.subjectSelectionen_US
dc.titleRegulated seasonal unit root process
dc.typeArticle

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