FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS

Burak Eroglu, Kemal Caglar Gogebakan and Mirza Trokic
Additional contact information
Burak Eroglu: Istanbul Bilgi University
Kemal Caglar Gogebakan: Bilkent University
Mirza Trokic: Bilkent University and IHS Markit

Working Papers from The Center for Financial Studies (CEFIS), Istanbul Bilgi University

Abstract: This paper introduces a non-parametric variance ratio testing procedure for seasonal unit roots by utilizing the fractional integration operator. This procedure includes unit root tests at zero, Nyquist, harmonic and joint frequencies. Different from the widely used seasonal unit root tests of Hylleberg et al. (1990)[HEGY], the proposed tests are free from any nuisance and tuning parameters. Furthermore, we develop a new bootstrap technique for the fractional seasonal variance ratio tests by utilizing wavelet filters. This technique allows the practitioners to test for the seasonal unit roots without estimating a parametric regression model. The Monte Carlo simulation evidence reveals that, our proposed fractional seasonal variance ratio [FSVR] tests and the wavelet based bootstrap counterparts have desirable size and power properties.

Keywords: Seasonal unit roots; Fractional integration; Wavelets; Wavestrapping (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2017-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cefis.bilgi.edu.tr/pdf/CEFIS1706.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bli:wpaper:1707

Access Statistics for this paper

More papers in Working Papers from The Center for Financial Studies (CEFIS), Istanbul Bilgi University Contact information at EDIRC.
Bibliographic data for series maintained by Baris Soybilgen ( this e-mail address is bad, please contact ).