Wavelet variance ratio cointegration test and wavestrapping

JOURNAL OF MULTIVARIATE ANALYSIS

卷:171

Article

Eroglu, Burak Alparslan¹ 

[1] Eski Silahtaraga Elekt Santrali, Kazan Karabekir Cad,2-13,Ll 203, TR-34060 Istanbul, Turkey

关键词: Cointegration;    Fractional integration;    Wavelet;    Wavestrapping;   

DOI  :  10.1016/j.jmva.2018.12.011

来源: Elsevier

【 摘 要 】

In this paper, we propose a wavelet-based cointegration test for fractionally integrated time series. The proposed test is nonparametric and asymptotically invariant to different forms of short-run dynamics. The use of wavelets allows us to take advantage of the wavelet based bootstrapping method mainly known as wavestrapping. In this regard, we introduce to the literature a new wavestrapping algorithm for multivariate time series processes specifically for cointegration tests. The Monte Carlo simulations indicate that this new wavestrapping procedure can alleviate the severe size distortions which we generally observe in cointegration tests with time series containing innovations that possess highly negative moving average roots. (C) 2019 Elsevier Inc. All rights reserved.

【 授权许可】

Free