Wavelet energy ratio unit root tests

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dc.citation.epage19en_US
dc.citation.spage1en_US
dc.contributor.authorTrokić, M.en_US
dc.date.accessioned2018-04-12T10:39:55Z
dc.date.available2018-04-12T10:39:55Z
dc.date.issued2016en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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, LLCen_US
dc.description.provenanceMade available in DSpace on 2018-04-12T10:39:55Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 179475 bytes, checksum: ea0bedeb05ac9ccfb983c327e155f0c2 (MD5) Previous issue date: 2016en
dc.identifier.doi10.1080/07474938.2016.1222232en_US
dc.identifier.eissn1532-4168
dc.identifier.issn0747-4938
dc.identifier.urihttp://hdl.handle.net/11693/36439
dc.language.isoEnglishen_US
dc.publisherTaylor and Francis Inc.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/07474938.2016.1222232en_US
dc.source.titleEconometric Reviewsen_US
dc.subjectFractional Brownian motionen_US
dc.subjectFractional integrationen_US
dc.subjectHypothesis testen_US
dc.subjectSize distortionen_US
dc.subjectStatistical poweren_US
dc.subjectTime seriesen_US
dc.subjectUnit rooten_US
dc.subjectVariance ratio statisticen_US
dc.subjectWavelet energy ratioen_US
dc.subjectWaveletsen_US
dc.subjectWavestrappingen_US
dc.titleWavelet energy ratio unit root testsen_US
dc.typeArticleen_US

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