季节平稳性的重标方差检验

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-07-02 DOI:10.1515/snde-2021-0004

K. C. Gogebakan

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引用次数: 0

摘要

摘要本文介绍了季节平稳性的重新标度方差检验。V/S统计量由Giraitis，L.、P.Kokoszka、R.Leipus和G.Teyssière设计。2003年，“波动性和水平中长记忆的重定方差和相关测试”，《计量经济学杂志》112:265-94，KPSS统计的平均修正版本。在季节背景下，Canova，F.和B.E.Hansen。1995年，《季节模式随时间变化是恒定的吗？季节稳定性的检验》，《商业与经济统计杂志》13:237-52介绍了KPSS统计的季节性概括。在这方面，我的目标是加强Canova F.和B.E.Hansen的工作。1995年，《季节模式随时间变化是恒定的吗？季节稳定性的检验》，《商业与经济统计杂志》13:237–52[CH]，通过季节框架中的平均修正。得到了季节性V/S检验的渐近分布。V/S测试比CH测试具有更好的功率性能，同时表现出相似的尺寸性能。此外，通过数据预过滤，我提出了V/S统计的鲁棒版本，以消除在CH测试中观察到的无人值守单位根问题。

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Rescaled variance tests for seasonal stationarity

Abstract This paper introduces rescaled variance [V/S] tests for seasonal stationarity. The V/S statistic is designed by Giraitis, L., P. Kokoszka, R. Leipus, and G. Teyssière. 2003. “Rescaled Variance and Related Tests for Long Memory in Volatility and Levels.” Journal of Econometrics 112: 265–94 to be the mean corrected versions of the KPSS statistic. In the seasonal context, Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 present the seasonal generalization of the KPSS statistic. In this regard, I aim to strengthen the work of Canova, F., and B. E. Hansen. 1995. “Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability.” Journal of Business & Economic Statistics 13: 237–52 [CH] by mean correction in the seasonal framework. I obtain the asymptotic distributions of the seasonal V/S tests. The V/S tests enjoy better power performance than the CH tests while exhibiting similiar size performance. Furthermore, by data pre-filtering, I propose robustified versions of the V/S statistics to eliminate the unattended unit root problem observed in the CH tests.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

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.