On the performance of the variance ratio unit root tests with flexible Fourier form

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dc.authoridEroğlu, Burak Alparslan/0000-0001-6814-747X;
dc.authorwosidEroğlu, Burak Alparslan/A-8187-2019
dc.authorwosidEroğlu, Burak Alparslan/HSH-2428-2023
dc.contributor.authorErolu, Burak A.
dc.contributor.authorYildirim, Selim
dc.date.accessioned2024-07-18T20:55:11Z
dc.date.available2024-07-18T20:55:11Z
dc.date.issued2021
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis article introduces a new unit root test that combines the variance ratio framework with the Flexible Fourier Form under the generalized least squares detrending mechanism. The advantage of the proposed method against its alternatives can be listed as: (1) it suggests a non-parametric procedure that does not require any parametric or semi-parametric model to remove serial correlation in the innovation process; (2) it can reasonably adapt itself to deal with the multiple structural breaks with various functional specifications. In the simulation exercises, we show that the proposed method exhibits satisfactory performance in the size and size-adjusted power analysis.en_US
dc.identifier.doi10.1080/02664763.2020.1796939
dc.identifier.endpage2579en_US
dc.identifier.issn0266-4763
dc.identifier.issn1360-0532
dc.identifier.issue13-15en_US
dc.identifier.pmid35707071en_US
dc.identifier.scopus2-s2.0-85088449077en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage2560en_US
dc.identifier.urihttps://doi.org/10.1080/02664763.2020.1796939
dc.identifier.urihttps://hdl.handle.net/11411/8763
dc.identifier.volume48en_US
dc.identifier.wosWOS:000551327900001en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakPubMeden_US
dc.language.isoenen_US
dc.publisherTaylor & Francis Ltden_US
dc.relation.ispartofJournal of Applied Statisticsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectUnit Root Testen_US
dc.subjectFlexible Fourier Formen_US
dc.subjectVariance Ratioen_US
dc.subjectGls Detrendingen_US
dc.subjectTerm Structureen_US
dc.subjectTime-Seriesen_US
dc.subjectCointegrationen_US
dc.subjectHypothesisen_US
dc.subjectStationarityen_US
dc.subjectBreaksen_US
dc.subjectNullen_US
dc.titleOn the performance of the variance ratio unit root tests with flexible Fourier form
dc.typeArticle

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