A family of nonparametric unit root tests for processes driven by infinite variance innovations

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buir.contributor.authorGöğebakan, Kemal Çağlar
buir.contributor.orcidGöğebakan, Kemal Çağlar|0000-0001-5556-4194
dc.citation.epage17en_US
dc.citation.spage1en_US
dc.contributor.authorGöğebakan, Kemal Çağlar
dc.date.accessioned2022-03-01T12:59:35Z
dc.date.available2022-03-01T12:59:35Z
dc.date.issued2021-10-20
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis paper presents extensions to the family of nonparametric fractional variance ratio (FVR) unit root tests of Nielsen (2009. “A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic.” Econometric Theory25: 1515–44) under heavy tailed (infinite variance) innovations. In this regard, we first develop the asymptotic theory for these FVR tests under this setup. We show that the limiting distributions of the tests are free of serial correlation nuisance parameters, but depend on the tail index of the infinite variance process. Then, we compare the finite sample size and power performance of our FVR unit root tests with the well-known parametric ADF test under the impact of the heavy tailed shocks. Simulations demonstrate that under heavy tailed innovations, the nonparametric FVR tests have desirable size and power properties.en_US
dc.identifier.doi10.1515/snde-2021-0058en_US
dc.identifier.eissn1558-3708
dc.identifier.issn1081-1826
dc.identifier.urihttp://hdl.handle.net/11693/77657
dc.language.isoEnglishen_US
dc.publisherWalter de Gruyter GmbHen_US
dc.relation.isversionofhttps://doi.org/10.1515/snde-2021-0058en_US
dc.source.titleStudies in Nonlinear Dynamics & Econometricsen_US
dc.subjectHeavy tailed innovationen_US
dc.subjectInfinite variance distributionen_US
dc.subjectNonparametric testen_US
dc.subjectUnit root testen_US
dc.titleA family of nonparametric unit root tests for processes driven by infinite variance innovationsen_US
dc.typeArticleen_US

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