Bounded unit root processes with non-stationary volatility

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buir.contributor.authorGöğebakan, Kemal Çağlar
buir.contributor.authorEroğlu, Burak Alparslan
buir.contributor.orcidGöğebakan, Kemal Çağlar|0000-0001-5556-4194
dc.citation.epage19en_US
dc.citation.spage1en_US
dc.contributor.authorGöğebakan, Kemal Çağlar
dc.contributor.authorEroğlu, Burak Alparslan
dc.date.accessioned2022-02-15T08:33:30Z
dc.date.available2022-02-15T08:33:30Z
dc.date.issued2021-02-08
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis article concerns the unit root testing under nonstandard conditions for a time series process, such as having an innovation process with non-stationary variance and being limited inside an interval. These conditions are investigated separately in the unit root literature and shown to cause problems, such as size distortions. In this article, we consider the presence of both conditions in the unit root tests simultaneously. The simulation results indicate that the previous methods fail to provide satisfactory inference performance under the simultaneous presence of these conditions. To alleviate this issue, we propose a robust unit root testing mechanism and derive this procedure’s asymptotic properties.en_US
dc.description.provenanceSubmitted by Merve Nalbant (merve.nalbant@bilkent.edu.tr) on 2022-02-15T08:33:30Z No. of bitstreams: 1 Bounded_unit_root_processes_with_non-stationary_volatility.pdf: 1931984 bytes, checksum: c6096a8b58e7aa6bd6cae49775bcea7d (MD5)en
dc.description.provenanceMade available in DSpace on 2022-02-15T08:33:30Z (GMT). No. of bitstreams: 1 Bounded_unit_root_processes_with_non-stationary_volatility.pdf: 1931984 bytes, checksum: c6096a8b58e7aa6bd6cae49775bcea7d (MD5) Previous issue date: 2021-02-08en
dc.identifier.doi10.1080/03610918.2021.1879139en_US
dc.identifier.eissn1532-4141
dc.identifier.issn0361-0918
dc.identifier.urihttp://hdl.handle.net/11693/77362
dc.language.isoEnglishen_US
dc.publisherTaylor & Francis Inc.en_US
dc.relation.isversionofhttps://doi.org/10.1080/03610918.2021.1879139en_US
dc.source.titleCommunications in Statistics: Simulation and Computationen_US
dc.subjectLimited processen_US
dc.subjectNon-stationary volatilityen_US
dc.subjectUnit rooten_US
dc.titleBounded unit root processes with non-stationary volatilityen_US
dc.typeArticleen_US

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