Unit roots in lower-bounded series with outliers
Economic Modelling
; : 105984, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1966522
ABSTRACT
This study examines a unit root process in lower-bounded time series with additive outliers. A standard unbounded unit root test may be unsuitable when applied to nonnegative or lower-bounded data;therefore, lower-bounded unit root tests that handle outliers are proposed. The results demonstrate that these tests reject less frequently the null hypothesis of unit root because of a nuisance parameter associated with the lower bound. The empirical study of inflation and stock market volatility in South America reveals the presence of outliers related to the hyperinflation crisis and stock markets owing to multiple shocks, such as the recent COVID-19 pandemic. Moreover, these series cannot reject the unit root hypothesis if the lower bound is considered.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
Economic Modelling
Year:
2022
Document Type:
Article
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