On the performance of the variance ratio unit root tests with flexible Fourier form

Erolu B. A., YILDIRIM S.

JOURNAL OF APPLIED STATISTICS, cilt.48, sa.13-15, ss.2560-2579, 2021 (SCI-Expanded) identifier identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 48 Sayı: 13-15
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1080/02664763.2020.1796939
  • Dergi Adı: JOURNAL OF APPLIED STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, ABI/INFORM, Aerospace Database, Business Source Elite, Business Source Premier, CAB Abstracts, Veterinary Science Database, zbMATH
  • Sayfa Sayıları: ss.2560-2579
  • Anahtar Kelimeler: Unit root test, flexible Fourier form, variance ratio, GLS detrending, TERM STRUCTURE, TIME-SERIES, COINTEGRATION, HYPOTHESIS, STATIONARITY, BREAKS, NULL
  • Anadolu Üniversitesi Adresli: Evet

Özet

This article introduces a new unit root test that combines the variance ratio framework with the Flexible Fourier Form under the generalized least squares detrending mechanism. The advantage of the proposed method against its alternatives can be listed as: (1) it suggests a non-parametric procedure that does not require any parametric or semi-parametric model to remove serial correlation in the innovation process; (2) it can reasonably adapt itself to deal with the multiple structural breaks with various functional specifications. In the simulation exercises, we show that the proposed method exhibits satisfactory performance in the size and size-adjusted power analysis.