A new pseudo-parametric approach for unit root test using singular spectrum analysis and Gini-Ridge regression

Document Type : Original Scientific Paper

Authors

1 Department of Statistics‎, ‎University of Payame Noor‎, ‎Tehran‎, ‎Iran

2 The Research Institute of Energy Management and Planning‎, ‎University of Tehran‎, ‎Tehran‎, ‎Ira

Abstract

This article presents a novel method for conducting a unit root test utilizing a combination of singular spectrum analysis and the Gini-Ridge approach‎. ‎The Gini-Ridge approach employs a pseudo-parametric Gini-Ridge regression technique to estimate the coefficient from the AR(1) model while also utilizing bootstrap resampling to determine critical values for the test‎. ‎The effectiveness of the Gini Ridge-based stationarity test is evaluated across various probability distributions‎, ‎including the normal‎, ‎Laplace‎, ‎skew-normal‎, ‎and Cauchy distributions‎. ‎Simulation results validate the proposed test and demonstrate its superiority of over existing procedures‎. ‎In addition‎, ‎the proposed method for‎ ‎forecasting the number mobile transactions conducted by all e-commerce companies operating in the industry‎, ‎under the supervision of Shaparak and the Central Bank of Iran‎, ‎from April 2019 to August 2024‎, ‎was evaluated‎. ‎The findings showed that this new approach has a superior ability to detect the presence of unit roots in time series data.

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Journal of Statistical Modelling: Theory and Applications
Volume 5, Issue 2
July 2024
Pages 39-64

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History

  • Receive Date: 26 July 2024
  • Revise Date: 06 January 2025
  • Accept Date: 26 February 2025

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