A Likelihood Ratio Test of Stationarity Based on a Correlated Unobserved Components Model [PDF]
We propose a likelihood ratio (LR) test of stationarity based on a widely-used correlated unobserved components model. We verify the asymptotic distribution and consistency of the LR test, while a bootstrap version of the test is at least first-order ...
Tara M. Sinclair +2 more
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Market concentration of banks and unemployment: Evidence from the bank markets in Bosnia and Herzegovina and Serbia [PDF]
Bankarstvo, 2019 The paper focuses on researching the relationship between the concentration of the banking systems of Bosnia and Herzegovina and Serbia and the impact of employment/unemployment in both countries.
Alihodžić Almir
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On the stationarity of Japanese-yen based purchasing power parity in the presence of the structural breaks [PDF]
In this paper we perform the stationarity test on the Japanese-yen based real exchange rate of major trade partners of Japan, and we investigate the existences of relative PPPs with these countries and areas.
Masafumi Kozuka
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ARE EU BUDGET DEFICITS STATIONARY? [PDF]
In this paper, we test for the stationarity of European Union budget deficits over the period 1971 to 2006, using a panel of thirteen member countries. Our testing strategy addresses two key concerns with regard to unit root panel data testing, namely (i)
Mark J. Holmes +2 more
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The KPSS test with outliers [PDF]
, 2003 We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outliers induce spurious stationarity by lowering the power of these tests.
Smith, Jeremy, Otero, Jesus
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Stationarity of time series and the problem of spurious regression [PDF]
The goal of this paper was to introduce some general issues of non-stationarity for practitioners, students and beginning researchers. Using elementary techniques we examined the effect of non-stationary data on the results of regression analysis.
Lyócsa, Štefan, Baumöhl, Eduard
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Evaluation of MIMO Non- Stationarity [PDF]
, 2011 The transmission performance of MIMO systems can be highly improved under stationary channel conditions where the channel statistics are constant. Unfortunately, mobile radio channels are not stationary all the time.
Aldayel, Omar
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Purchasing Power Parity and the European Single Currency: Some New Evidence [PDF]
The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro.
Theodore Panagiotidis, Maria Christidou
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Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective [PDF]
In the 1980s and 1990s the issue of non-stationarity in economic time series has been in the context of unit roots vs. mean trends in AR(p) models. More recently this perspective has been extended to include structural breaks.
Maria Heracleous +2 more
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Spurious regression under broken trend stationarity [PDF]
We study the phenomenon of spurious regression between two random variables when the generating mechanism for individual series follows a stationary process around a trend with (possibly) multiple breaks in its level and slope.
Daniel Ventosa-Santaularia +1 more
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