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Rescaled variance tests for seasonal stationarity

Rescaled variance tests for seasonal stationarity AbstractThis 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Rescaled variance tests for seasonal stationarity

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References (26)

Publisher
de Gruyter
Copyright
© 2021 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1558-3708
eISSN
1558-3708
DOI
10.1515/snde-2021-0004
Publisher site
See Article on Publisher Site

Abstract

AbstractThis 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.

Journal

Studies in Nonlinear Dynamics & Econometricsde Gruyter

Published: Sep 1, 2022

Keywords: KPSS statistic; Lagrange multiplier; seasonal stationarity; unit root; V/S statistic; C12; C14; C22

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