Results 11 to 20 of about 4,784,645 (352)
Cointegration and unit root tests: A fully Bayesian approach [PDF]
Entropy 2020, 22(9), 968, 1-23, 2020 To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis one way to detect stochastic trends is to test if the series has unit roots, and for multivariate studies it is often relevant to search for stationary linear relationships between the series, or if ...
Diniz MA, B Pereira CA, Stern JM.
arxiv +2 more sources
Distribution of the Estimators for Autoregressive Time Series with a Unit Root [PDF]
, 1979 Let n observations Y 1, Y 2, ···, Y n be generated by the model Y t = pY t−1 + e t , where Y 0 is a fixed constant and {e t } t-1 n is a sequence of independent normal random variables with mean 0 and variance σ2.
David A. Dickey, Wayne A. Fuller
openalex +2 more sources
The local power of some unit root tests for panel data [PDF]
, 2004 Jörg Breitung
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Panel unit-root tests with structural breaks
The Stata Journal, 2022 In this article, we introduce a new community-contributed command called xtbunitroot, which implements the panel-data unit-root tests developed by Karavias and Tzavalis (2014, Computational Statistics and Data Analysis 76: 391–407). These tests allow for
Pengyu Chen +2 more
semanticscholar +1 more source
IS LONG-RUN MONETARY NEUTRAL? EVIDENCE FROM INDONESIA
Economic Journal of Emerging Markets, 2011 This paper examines the long-run monetary neutrality in Indonesia, mainly using annual time-series during 1970-2007. It uses Fisher-Seater methodology to analyze the research problems.
Arintoko Arintoko
doaj +7 more sources
UNIT ROOT TESTS WITH WAVELETS [PDF]
Econometric Theory, 2010 This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into
Gencay, Ramazan, Fan, Yanqin
openaire +3 more sources
Frontiers in Applied Mathematics and Statistics, 2020 This study intends to find out how the bank or industry-specific variables like banking regulation, banking efficiency, and banking operations affect non-performing loans in South Asia. To achieve this objective this study has employed robust 1st and 2nd
Aamir Aijaz Syed
doaj +1 more source
ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series
Mathematics, 2021 In conventional Econometrics, the unit root and cointegration analysis are the only ways to circumvent the spurious regression which may arise from missing variable (lag values) rather than the nonstationarity process in time series data.
Ghulam Ghouse +3 more
doaj +1 more source
Polyphenol Oxidase as a Biochemical Seed Defense Mechanism
Frontiers in Plant Science, 2014 Seed dormancy and resistance to decay are fundamental survival strategies, which allow a population of seeds to germinate over long periods of time. Seeds have physical, chemical, and biological defense mechanisms that protect their food reserves from ...
E. Patrick Fuerst +3 more
doaj +1 more source
Multistep Forecast Averaging with Stochastic and Deterministic Trends
Econometrics, 2023 This paper presents a new approach to constructing multistep combination forecasts in a nonstationary framework with stochastic and deterministic trends.
Mohitosh Kejriwal +2 more
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