Results 1 to 10 of about 3,217,247 (307)
Rank tests for unit roots [PDF]
Journal of Econometrics, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Breitung, Jörg, Gouriéroux, Christian
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A Time Series Analysis of Noninterest to Interest-Earning Dynamics Between 1984 to 2023 in the US Commercial Banking Sector [PDF]
SocioEconomic ChallengesBoth interest and noninterest earnings form the two critical components of the income stream of commercial banks. While interest earnings are tied to the lending volume and prevailing interest rates primarily dictated by the monetary policy and central ...
Achintya Ray
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The long-run validity of PPP in some major advanced and emerging countries using alternative models
Cogent Economics & Finance, 2023 The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are ...
Justice Kyei-Mensah
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Multiple unit roots in periodic autoregression [PDF]
Journal of Econometrics, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Boswijk, H.P. +2 more
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Testing for unit roots with stationary covariates [PDF]
Journal of Econometrics, 2000 We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates are available.
Elliott, Graham, Jansson, Michael
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ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS [PDF]
Econometric Theory, 2022 New methods are developed for identifying, estimating, and performing inference with nonstationary time series that have autoregressive roots near unity. The approach subsumes unit-root (UR), local unit-root (LUR), mildly integrated (MI), and mildly explosive (ME) specifications in the new model formulation.
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Testing weak form efficiency in the South African market
Journal of Economic and Financial Sciences, 2015 This paper furthers the work on efficiency of developing markets with specific focus on the JSE Limited. Empirical work on the efficiency of the JSE has been mixed; evidence both in favour of and against weak form efficiency is prominent.
Elmar Grater, Jean Struweg
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Unit Roots and Structural Breaks [PDF]
Econometrics, 2017 This special issue deals with problems related to unit roots and structural change, and the interplay between the two.[...]
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PARTIALLY LINEAR MODELS WITH UNIT ROOTS [PDF]
Econometric Theory, 2005 Summary: This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed by \textit{P. M. Robinson} [Econometrica 56, No.
Juhl, Ted P., Xiao, Zhijie
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Analysing Unit Root Properties of Macro-Economic Variables for Turkey
Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2018 This paper will analyse the unit root properties of main macro-economic variables of Turkey. These macro-economic variables are always in demand by policy makers. This is why we have chosen 10 variables for investigation.
Erkan Kara +2 more
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