Wild bootstrap tests for unit root in ESTAR models

Maki, Daiki

doi:10.1007/s10260-014-0289-0

Cited by 3 publications

(3 citation statements)

References 23 publications

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“…We also estimate a unit root test in Exponential Smooth Transition Autoregressive (ESTAR) models proposed by Maki (2015) to account for nonlinearities in the data. Maki's (2015) unit root test (t) performs well in the presence of heteroskedastic variances, stochastic volatility by estimating p-value of the test through wild bootstrapping. The test tests the null hypothesis of unit root against the alternative of stationarity.…”

Section: Methodsmentioning

confidence: 99%

“…Overall, standard unit root tests provide mixed results for the stationarity of the price indices. Table 3 reports the results of the Maki (2015) unit root test which account for nonlinearities stemming from market frictions, noise traders, transaction costs, and so forth. The results suggest that all price indices except BIST-SRV have unit root in their level since their bootstrapped p-values are estimated higher than conventional statistical significance levels.…”

Section: Data and Empirical Findingsmentioning

confidence: 99%

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Re-visiting the Turkish stock market efficiency: evidence from adaptive wild bootstrap testing procedures

Çağlı¹

2018

Pressacademia

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Purpose -This study aims to test the weak form efficient market hypothesis in Borsa Istanbul (BIST). We analyze weekly price indices, BIST-100, BIST-Financials, BIST-Industrials, BIST-Service, and BIST Technology over the period January 1988 -September 2018. Methodology -In addition to well-known unit root tests, we apply adaptive wild bootstrap testing procedures proposed by Cavaliere et al. (2018) and Boswijk and Zu (2018), both considering the non-stationary volatility process. Findings -The standard unit root tests provide mixed results. However, Carrion-i-Silvestre et al. (2009) and Maki (2015) unit root tests, and adaptive wild bootstrap testing procedures of both Boswijk and Zu's (2018) and Cavaliere et al. (2018) suggest that all price indices contain unit root at 5% level. Conclusion-The Turkish stock market is informationally weak-form efficient. The price indices follow a random-walk process; thus, it is fruitless to conduct trading strategies based on past price information to reap excess returns.

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Section: Methodsmentioning

confidence: 99%

Section: Data and Empirical Findingsmentioning

confidence: 99%

Re-visiting the Turkish stock market efficiency: evidence from adaptive wild bootstrap testing procedures

Çağlı¹

2018

Pressacademia

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“…An alternative to the EW approach used in (8) which is also widely employed in the literature to deal with, among other things, (unconditional and conditional) heteroskedasticity of unknown form is the Wild bootstrap (see, for instance, Killian and Gonçalves, 2004, Cavaliere and Taylor 2008, Pavlidis et al 2010and Maki 2015. It consists of using the residualsε t computed from (6) and generating a new unit root process aŝ…”

Section: Unconditional and Conditional Heteroskedasticitymentioning

confidence: 99%

A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach*

2021

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This paper introduces a simple and easy to implement procedure to test for changes in persistence. The time-varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test procedure is the minimum of a t-statistic, computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time varying properties of persistence. The asymptotic distributions of the new tests are derived and critical values are provided. An indepth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local GLS de-trended Dickey-Fuller (DF GLS) type tests introduced by Elliott et al. (1996) under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries' inflation series shows that for most countries analysed persistence was high in the first half of the sample and subsequently decreased. These results are compatible with modern macroeconomic theories that point to changes in inflation behavior in the early 1980s and also with recent empirical evidence against the I(1)-I(0) dichotomy.

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The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models

2019

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Wild bootstrap tests for unit root in ESTAR models

Cited by 3 publications

References 23 publications

Re-visiting the Turkish stock market efficiency: evidence from adaptive wild bootstrap testing procedures

Re-visiting the Turkish stock market efficiency: evidence from adaptive wild bootstrap testing procedures

A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach*

The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models

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