Wavelet energy ratio unit root tests

Trokić, Mirza

doi:10.1080/07474938.2016.1222232

Cited by 4 publications

(1 citation statement)

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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%

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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Section: Data and Empirical Findingsmentioning

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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Time-varying cointegration and the Kalman filter

Eroğlu

Miller

Yigit

2021

Econometric Reviews

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We show that time-varying parameter state-space models estimated using the Kalman filter are particularly vulnerable to the problem of spurious regression, because the integrated error is transferred to the estimated state equation. We offer a simple yet effective methodology to reliably recover the instability in cointegrating vectors. In the process, the proposed methodology successfully distinguishes between the cases of no cointegration, fixed cointegration, and time-varying cointegration. We apply these proposed tests to elucidate the relationship between concentrations of greenhouse gases and global temperatures, an important relationship to both climate scientists and economists.

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Recovering cointegration via wavelets in the presence of non-linear patterns

Compains

Carreño

Gençay

et al. 2021

Studies in Nonlinear Dynamics &Amp; Econometrics

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Johansen’s Cointegration Test (JCT) performs remarkably well in finding stable bivariate cointegration relationships. Nonetheless, the JCT is not necessarily designed to detect such relationships in presence of non-linear patterns such as structural breaks or cycles that fall in the low frequency portion of the spectrum. Seasonal adjustment procedures might not detect such non-linear patterns, and thus, we expose the difficulty in identifying cointegrating relations under the traditional use of JCT. Within several Monte Carlo experiments, we show that wavelets can empower more the JCT framework than the traditional seasonal adjustment methodologies, allowing for identification of hidden cointegrating relationships. Moreover, we confirm these results using seasonally adjusted time series as US consumption and income, gross national product (GNP) and money supply M1 and GNP and M2.

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Wavelet energy ratio unit root tests

Cited by 4 publications

References 46 publications

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

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

Time-varying cointegration and the Kalman filter

Recovering cointegration via wavelets in the presence of non-linear patterns

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Wavelet energy ratio unit root tests

Cited by 4 publications

References 46 publications

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

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

Time-varying cointegration and the Kalman filter

Recovering cointegration via wavelets in the presence of non-linear patterns

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Product

Resources

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

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