Rescaled variance tests for seasonal stationarity

Simple item page
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.accessioned2022-03-01T12:46:47Z
dc.date.available2022-03-01T12:46:47Z
dc.date.issued2021-07-02
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis paper introduces rescaled variance [V/S] tests for seasonal stationarity. The V/S statistic is designed by Giraitis, L., P. Kokoszka, R. Leipus, and G. Teyssière. 2003. “Rescaled Variance and Related Tests for Long Memory in Volatility and Levels.” Journal of Econometrics 112: 265–94 to be the mean corrected versions of the KPSS statistic. In the seasonal context, Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 present the seasonal generalization of the KPSS statistic. In this regard, I aim to strengthen the work of Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 [CH] by mean correction in the seasonal framework. I obtain the asymptotic distributions of the seasonal V/S tests. The V/S tests enjoy better power performance than the CH tests while exhibiting similiar size performance. Furthermore, by data pre-filtering, I propose robustified versions of the V/S statistics to eliminate the unattended unit root problem observed in the CH tests.en_US
dc.description.provenanceSubmitted by Dilan Ayverdi (dilan.ayverdi@bilkent.edu.tr) on 2022-03-01T12:46:47Z No. of bitstreams: 1 Rescaled_variance_tests_for_seasonal_stationarity.pdf: 1613845 bytes, checksum: f5c64d4dc238b382273472d3327c608c (MD5)en
dc.description.provenanceMade available in DSpace on 2022-03-01T12:46:47Z (GMT). No. of bitstreams: 1 Rescaled_variance_tests_for_seasonal_stationarity.pdf: 1613845 bytes, checksum: f5c64d4dc238b382273472d3327c608c (MD5) Previous issue date: 2021-07-02en
dc.identifier.doi10.1515/snde-2021-0004en_US
dc.identifier.eissn1558-3708
dc.identifier.issn1081-1826
dc.identifier.urihttp://hdl.handle.net/11693/77656
dc.language.isoEnglishen_US
dc.publisherWalter de Gruyter GmbHen_US
dc.relation.isversionofhttps://doi.org/10.1515/snde-2021-0004en_US
dc.source.titleStudies in Nonlinear Dynamics & Econometricsen_US
dc.subjectKPSS statisticen_US
dc.subjectLagrange multiplieren_US
dc.subjectSeasonal stationarityen_US
dc.subjectUnit rooten_US
dc.subjectV/S statisticen_US
dc.titleRescaled variance tests for seasonal stationarityen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Rescaled_variance_tests_for_seasonal_stationarity.pdf
Size:
1.54 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.69 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Department of Economics