The usage of bridge estimator to determine the order of integration for possibly integrated series as an alternative to Dickey-Pantula unit root test

KOŞAR TAŞ Ç., GÜLER H., YALÇIN Y.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.53, sa.8, ss.3916-3932, 2024 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 53 Sayı: 8
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1080/03610918.2022.2117826
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Applied Science & Technology Source, Business Source Elite, Business Source Premier, CAB Abstracts, Compendex, Computer & Applied Sciences, Veterinary Science Database, zbMATH, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.3916-3932
  • Anahtar Kelimeler: Bridge estimator, Model selection, Multiple unit root, Oracle property, Unit root test
  • Çukurova Üniversitesi Adresli: Evet

Özet

In the recent studies, it is seen that the Bridge estimator which penalizes the parameters using a shrinkage parameter is used for choosing the lag length of single unit root tests and parameter estimation. With this method, parameter estimation and model selection are made simultaneously. However, economic series can sometimes contain more than one unit root. Dickey and Pantula proposed a sequential test method to examine the presence of more than one unit root in the series. In this study, Bridge estimator is proposed to determine the integration order of series with more than one unit root. With a simulation study, Bridge estimator is compared with the Dickey-Pantula test in terms of determining the order of integration. The results are also supported with a real data analysis. Both simulation studies and applications show that Bridge estimator is a good alternative to Dickey-Pantula test in determining the integration order. Moreover, this method is based on the estimation of a single model, unlike the Dickey-Pantula test.