Browsing by Subject "Size distortion"

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    Tests for cointegration with infinite variance errors
    (Elsevier BV, 1998) Caner, M.
    This paper develops the asymptotic theory for residual-based tests and quasi-likelihood ratio tests for cointegration under the assumption of infinite variance errors. This article extends the results of Phillips and Ouliaris (1990) and Johansen (1988, 1991) which are derived under the assumption of square-integrable errors. Here the limit laws are expressed in terms of functionals of symmetric stable laws rather than Brownian motion. Critical values of the residual-based tests of Phillips and Ouliaris (1990) and likelihood-ratio-based tests of Johansen (1991) are calculated and tabulated. We also investigate whether these tests are robust to infinite variance errors. We found that regardless of the index of stability a, the residual-based tests are more robust to infinite variance errors than the likelihood-ratio-based tests. (C) 1998 Elsevier Science S.A. All rights reserved.
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    Wavelet energy ratio unit root tests
    (Taylor and Francis Inc., 2016) Trokić, M.
    This article uses wavelet theory to propose a frequency domain nonparametric and tuning parameter-free family of unit root tests. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of the unit root based on the ratio of the resulting scaling energies. The proposed statistic enjoys good power properties and is robust to severe size distortions even in the presence of serially correlated MA(1) errors with a highly negative moving average (MA) parameter, as well as in the presence of random additive outliers. Any remaining size distortions are effectively eliminated using a novel wavestrapping algorithm. 2016 Copyright © Taylor & Francis Group, LLC