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Title: Regulated seasonal unit root process
Authors: Eroglu, Burak Alparslan
Pehlivan Yiğit, Ayşe Özgür
Keywords: regulated Brownian motion
regulated time series
seasonal unit roots
Issue Date: 2021
Publisher: De Gruyter Open Ltd
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. © 2021 Walter de Gruyter GmbH, Berlin/Boston 2021.
ISSN: 1081-1826
Appears in Collections:İktisat Bölümü / Department of Economics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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