On the Performance of Wavelet Based Unit Root Tests

Eroğlu, Burak Alparslan; Soybilgen, Barış

doi:10.3390/jrfm11030047

Cited by 19 publications

(10 citation statements)

References 15 publications

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“…The L denotes wavelet filter length and mod indicates mode operator used in the filtering process . Eroğlu and Soybilgen ( 2018 ) expanded the basic method by using the following specification: where j = 1,…, J, V is the scaling parameter computed through the wavelet filtering approach. is the coefficient, which signifies the presence or otherwise of stationarity, is the coefficient associated with .…”

Section: Methodsmentioning

confidence: 99%

Convergence analysis of ammonia emissions by sector and fuel source in OECD countries from 1750 to 2019 using a new Fourier-centric wavelet approach

Solarin

Erdoğan

Bello

2022

Environ Sci Pollut Res

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Although ammonia emissions are not as huge as carbon and methane emissions, they pose significant threats to ensuring environmental sustainability and productivity. However, the existing literature has paid less attention to the underlying characteristics of ammonia emissions. The chief target of this study is to investigate the stochastic convergence of ammonia emissions at the aggregate level, by sector, and by fuel source in 37 Organization for Economic Cooperation and Development countries for more than two centuries of data. Using a newly proposed Fourier-augmented wavelet unit root test, the empirical findings reveal that the relative ammonia emissions series in most Organization for Economic Cooperation and Development countries follow the unit root process in the aggregate, sectoral, and fuel-specific analyses. Therefore, these findings refer to the existence of divergence, while stochastic convergence does not exist in most cases. Having a divergent pattern of ammonia emissions has several policy implications for policymakers in the context of environmental sustainability. (i) Relative ammonia emission cannot revert to its steady-state path without policy intervention, (ii) policymakers have a chance of affecting the dynamics of ammonia emissions in Organization for Economic Cooperation and Development countries. (iii) As a policy response, the study recommends the pursuant of national environmental policies with consideration to the unique characteristics of the individual countries as the non-existence of convergence of environmental series could result in a diverse level of consciousness of environmental degradation among countries with divergent patterns on emissions levels.

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Section: Methodsmentioning

confidence: 99%

Convergence analysis of ammonia emissions by sector and fuel source in OECD countries from 1750 to 2019 using a new Fourier-centric wavelet approach

Solarin

Erdoğan

Bello

2022

Environ Sci Pollut Res

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“…Gençay, Selçuk, & Whitcher (2001) stated that DWT is more suitable for high-frequency financial and economic time series data. In addition, Eroğlu & Soybilgen (2018) emphasized that DWT obtains more robust results than any other transformations for wavelet-based ADF unit root tests. Thus, we Salih Ülev, Mervan SELÇUK İktisat Politikası Araştırmaları Dergisi -Journal of Economic Policy Researches adopted the DWT in this study for the FWADF test.…”

Section: Methodsmentioning

confidence: 99%

Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test

Ülev¹,

Selçuk²

2022

jepr

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Islamic stock markets and indices are a newly developing field and an essential phenomenon in the global financial system. Islamic stocks are different from conventional counterparts because they filter firms that do not comply with Shari'ah principles. The efficiency of stock markets is essential for all countries in regard to resource allocation and sustainable economic development. Therefore, many hypotheses have been developed to investigate market efficiency. The first and one of the most important of these hypotheses is the efficient market hypothesis. This paper aims to investigate the weak-form market efficiency of Islamic stock markets. For this purpose, we used 13 indices data in Dow Jones and S&P between 2011 and 2021, employing the Fourier Wavelet ADF (FWADF) Unit Root Test. The FWADF test enabled us to consider structural breaks with an unknown number, time, and form. The studies examining EMH and Islamic indices did not consider smooth changes and frequency information in wavelet-based unit root tests. Therefore, it is possible that the information for indices may have been incomplete. Adopting FWADF, our study contributes to the literature in that it uses all information about the stock market indices data in the analysis. The findings show that six Islamic market indices have unit roots, but seven indices are stationary. This means that all emerging market indices analyzed have market efficiency, but developed country indices do not. The results provide further understanding for investors and financial analysists enabling them to assess their decisions efficiently in constructing investment portfolios.

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“…Although the wavelet unit root test has a considerable advantage in testing the unit root behavior of the time series, the test suffers from size distortions when the series under examination contains deterministic dynamics and moving average (MA) serial correlations with a high negative root [4] [for more details, see Eroğlu and Soybilgen (2018) and Trokić (2019)]. This shortcoming leads us to apply another nonlinear unit root test to provide robustness for the findings of the wavelet unit root test.…”

Section: Data and Empirical Findingsmentioning

confidence: 99%

“…2. Following the study of Fan and Gencay (2010), in this paper we considered the Haar wavelet in the implementation process. However, different wavelets such as the Daubechies families can also be considered [more details are available in Eroğlu and Soybilgen (2018)]. …”

Section: Notesmentioning

confidence: 99%

Convergence in per capita CO₂emissions: evidence from nonlinear unit root tests in top four oil exporter countries

Saliminezhad

Bahramian

2020

IJESM

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Purpose This paper aims to examine the stochastic convergence of the per capita CO2 emissions among the top four crude oil exporter countries, namely, Canada, Iraq, Russia and Saudi Arabia, from 1960 to 2017. Assessing the stationarity and unit root properties of the environmental series in these countries is important as their large fossil fuel resources increases the potential for rising CO2 emissions compared to other countries. Design/methodology/approach In addition to implementing the conventional unit root tests, the authors also benefit from the application of three nonlinear unit root tests, namely, wavelet unit root test, nonlinear unit root test of Güriş (2019) and the Fourier quantile unit root test. These methods are robust to the presence of possible structural breaks and other forms of nonlinearities, while the wavelet unit root test enables us to examine the stochastic behavior of the variables in both time and frequency domains. Hence, they all provide more reliable inferences on the convergences of the CO2 emissions compared to their standard competitors. Findings The standard unit root test results show strong evidence in favor of non-stationarity in all countries. This conclusion supports the results of the other nonlinear unit root tests and the overall findings of the Fourier quantile unit root test. The wavelet unit root test provides a controversial finding. However, due to its limitations, its findings must be interpreted with caution. The details of the Fourier quantile unit root test indicate that per capita CO2 emissions follow mean-reverting properties in middle quantile ranges for Canada, Russia and Iraq. This validates the asymmetric behaviors of per capita CO2 emissions in these countries. Originality/value The novelty of the work can be stated in two ways. First, among the available studies, this is the first paper to emphasize the importance of examining the convergence of per capita CO2 emissions among the top four oil exporters. Second, to the best of the knowledge, no study has yet been undertaken in which all these methods have been simultaneously applied. Sustainable environmental policies depend heavily on the CO2 series’ properties. Thus, the findings can provide significant environmental and economic implications for policymakers to construct feasible and optimal policies in climate change mitigation.

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On the Performance of Wavelet Based Unit Root Tests

Cited by 19 publications

References 15 publications

Convergence analysis of ammonia emissions by sector and fuel source in OECD countries from 1750 to 2019 using a new Fourier-centric wavelet approach

Convergence analysis of ammonia emissions by sector and fuel source in OECD countries from 1750 to 2019 using a new Fourier-centric wavelet approach

Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test

Convergence in per capita CO₂emissions: evidence from nonlinear unit root tests in top four oil exporter countries

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On the Performance of Wavelet Based Unit Root Tests

Cited by 19 publications

References 15 publications

Convergence analysis of ammonia emissions by sector and fuel source in OECD countries from 1750 to 2019 using a new Fourier-centric wavelet approach

Convergence analysis of ammonia emissions by sector and fuel source in OECD countries from 1750 to 2019 using a new Fourier-centric wavelet approach

Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test

Convergence in per capita CO2emissions: evidence from nonlinear unit root tests in top four oil exporter countries

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Product

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Convergence in per capita CO₂emissions: evidence from nonlinear unit root tests in top four oil exporter countries