Economics at your fingertips  

Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility

Anton Skrobotov (), Giuseppe Cavaliere () and Robert Taylor

Working Papers from Gaidar Institute for Economic Policy

Abstract: This paper investigates the behaviour of the well-known HEGY (Hylleberg, Engle, Granger and Yoo, 1990, Journal of Econometrics, vol.44, pp.215-238) regression-based seasonal unit root tests in cases where the driving shocks are allowed to display periodic non-stationary volatility and conditional heteroskedasticity. Our set up allows for periodic heteroskedasticity, non-stationary volatility and (seasonal) GARCH as special cases. We show that the limiting null distributions of the HEGY tests depend, in general, on nuisance parameters which derive from the underlying volatility process. Monte Carlo simulations show that the standard HEGY tests can be substantially over-sized in the presence of such effects. As a consequence, we propose bootstrap implementations of the HEGY tests, based around a seasonal block wild bootstrap principle. This is shown to deliver asymptotically pivotal inference under our general conditions on the shocks. Simulation evidence is presented which suggests that our proposed bootstrap tests perform well in practice, largely correcting the size problems seen with the standard HEGY tests even under extreme patterns of heteroskedasticity, yet not losing finite sample relative to the standard HEGY tests.

Keywords: seasonal unit roots; (periodic) non-stationary volatility; conditional heteroskedasticity; wild bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2016, Revised 2016
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: Track citations by RSS feed

Downloads: (external link) Revised version, 2016 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to (Bad file descriptor) ( [301 Moved Permanently]-->

Related works:
Journal Article: Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility (2019) Downloads
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:

Access Statistics for this paper

More papers in Working Papers from Gaidar Institute for Economic Policy Contact information at EDIRC.
Bibliographic data for series maintained by Victor Hugues ().

Page updated 2021-02-20
Handle: RePEc:gai:wpaper:wpaper-2016-269