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

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(۱) 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 ۲۰۱۹ to August ۲۰۲۴‎, ‎was evaluated‎. ‎The findings showed that this new approach has a superior ability to detect the presence of unit roots in time series data.

کلیدواژه ها:

Bootstrap‎ ، ‎Gini methodology ، ‎Ridge regression ، ‎Singular spectrum analysis ، ‎Time series analysis ، ‎Unit root tests