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dc.contributor.advisorYiğit, Taner
dc.contributor.authorEroğlu, Burak Alparslan
dc.date.accessioned2016-05-31T12:50:58Z
dc.date.available2016-05-31T12:50:58Z
dc.date.copyright2016-05
dc.date.issued2016-05
dc.date.submitted2016-05-30
dc.identifier.urihttp://hdl.handle.net/11693/29121
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionIncludes bibliographical references (leaves 83-87).en_US
dc.descriptionThesis (Ph.D.): Bilkent University, Department of Economics, İhsan Doğramacı Bilkent University, 2016.en_US
dc.description.abstractIn this thesis, I address three di erent problems in unit root and cointegration models and I propose new methods to improve inference in testing procedures for these models. Two of these problems are related to unit root tests. First one is so-called nonstationary volatility issue, which causes severe size distortions in standard unit root tests. I try to resolve this problem with a nonparametric technique introduced rst by Nielsen (2009). Second, I investigate the unit root testing under regulation, which constraints a time series process on a given interval. In this case, standard tests frequently fail to detect the presence of nonstationarity. I employ a similar methodology as in rst part and provide correct inference in unit root testing for regulated series. The nal problem is related to cointegration models. In these models, if innovations of the system are contaminated by MA type negative serial correlation, cointegration tests spuriously rejects the true null hypothesis. Combining wavelet theory and Nielsen's (2010) variance ratio testing procedure, I manage to reduce the impact of the problematic innovations on cointegration test. All three methods share the common feature of being nonparametric in sense that they do not require any regression or kernel type correction to handle serial correlation.en_US
dc.description.statementofresponsibilityby Burak Alparslan Eroğlu.en_US
dc.format.extentxiii, 123 leaves.en_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCointegrationen_US
dc.subjectIntegrationen_US
dc.subjectNonstationary volatilityen_US
dc.subjectRegulated time seriesen_US
dc.subjectWavelet lteren_US
dc.titleImproving inference in integration and cointegration testsen_US
dc.title.alternativeBütünleşme ve eşgüdüm testlerinde çıkarımsal düzenlemeleren_US
dc.typeThesisen_US
dc.departmentDepartment of Economicsen_US
dc.publisherBilkent Universityen_US
dc.description.degreePh.D.en_US
dc.identifier.itemidB153343
dc.embargo.release2018-05-30


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