Browsing by Subject "Variance ratio statistic"

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    A nonparametric unit root test under nonstationary volatility
    (Elsevier, 2016) Eroğlu, B. A.; Yiğit, T.
    We develop a new nonparametric unit root testing method that is robust to permanent shifts in innovation variance. Unlike other methods in the literature, our test does not require a parametric specification or lag/bandwidth selection to adjust for serial correlation. © 2016 Elsevier B.V.
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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