Results 101 to 110 of about 96,433 (236)

Stock return predictability and stationarity of dividend yield [PDF]

This paper first investigates the stationarity of dividend yield and then analyzes the predictive ability of the adjusted dividend yield which removes structural changes and high persistence characteristics. Empirical results have found that the dividend
Kuang-Liang Chang
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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, James Morley, Irina Panovska   +2 more
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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, Theodore Panagiotidis, Jesús Otero   +2 more
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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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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, Aris Spanos, Andreas Koutris   +2 more
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Structural inequality shapes the daily rhythm of stationarity and mobility. [PDF]

Nat Commun
Tian Z, Zhang C, Li W, Tian L, Danziger MM, Liu W, Wang QR.   +6 more
europepmc   +1 more source

Correction: ScaleSpecter: a frequency-aware multi-scale patch framework for robust physiological classification under non-stationarity. [PDF]

Front Hum Neurosci
Frontiers Production Office.
europepmc   +1 more source

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, Antonio E. Noriega   +1 more
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