调节季节性单位根过程

IF 0.7 4区 经济学 Q3 ECONOMICS Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-06-15 DOI:10.1515/snde-2019-0110
B. Eroğlu, A. Pehlivan
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引用次数: 1

摘要

摘要不幸的是,时间序列问题并没有单独出现在数据中。我们关注非平稳性、季节性和有界数据的联合出现。季节性单位根测试和有界单位根测试已经存在于文献中,但当所有这些问题结合在一起时,它们的性能需要改进。这就是为什么我们提供了一个有界季节性单位根过程的测试程序。这些测试的组合并不简单,因为来自边界的非线性导致所提出的测试统计量的极限分布是多变量布朗运动,而其他测试具有单变量分布。模拟练习表明,现有的测试忽略了边界或季节性的存在,存在显著的规模问题。我们的统计数据消除了尺寸失真,并保持了令人满意的功率性能。
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Regulated seasonal unit root process
Abstract Unfortunately, time series problems do not appear in data singly. We focus on the joint occurrence of nonstationarity, seasonality and bounded data. Seasonal unit root tests and bounded unit root tests already exist in the literature, yet when all these issues are combined their performance needs improvement. That is why we offer a testing procedure for bounded seasonal unit root processes. The combination of these tests is not straightforward as the nonlinearity coming from bounds causes the limiting distribution of the proposed test statistic to be multivariate Brownian motion while the others have univariate distributions. The simulation exercises reveal that the existing tests, which ignores the presence of bounds or seasonality, suffer significant size problems. Our statistic removes the size distortions and also maintain satisfactory power performance.
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来源期刊
CiteScore
1.40
自引率
12.50%
发文量
34
期刊介绍: Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.
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