Results 11 to 20 of about 1,613,594 (302)
Allgemeines Statistisches Archiv, 2006 The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies.
Hassler, Uwe, Wolters, Jürgen
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On PPP, Unit Roots and Panels [PDF]
Empirical Economics, 2007 This paper re-assesses the panel (unit root test) evidence for PPP on four monthly data sets. We discuss and illustrate that commonly-used first generation panel unit root tests are inappropriate for PPP analysis since they are constructed for cross ...
Wagner, Martin
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Unit roots of the unit root L-functions of Kloosterman family
Finite Fields and Their Applications, 2023 As a consequence of Wan's theorem about Dwork's conjecture, the unit root $L$-functions of the $n$-dimensional Kloosterman family are $p$-adic meromorphic. By studying the symmetric power $L$-functions associated to the Kloosterman family, we prove that for each $0\le j\le n$, the unit root $L$-function coming from slope $j$ has a unique unit root ...
Liping Yang, Hao Zhang
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COINTEGRATION AND UNIT ROOTS [PDF]
Journal of Economic Surveys, 1990 Abstract. This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non‐stationary variables which seem to characterise faithfully the properties of many macroeconomic time series.
Dolado, J +2 more
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OPEC Market Power; Testing the Existence of Cooperative Behavior of OPEC’s Members with ARDL Approach [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2017 Market power refers to the ability to affecting to the market. The firm has a pricing power in the monopoly market. One of the types of monopolies is the cartel.
Seyed Mohammad Shahab Tabatabaee Atabak +2 more
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On the Robustness of Unit Root Tests in the Presence of Double Unit Roots [PDF]
SSRN Electronic Journal, 2000 We examine some of the consequences on commonly used unit root tests when the underlying series is integrated of order two rather than of order one. It turns out that standard augmented Dickey–Fuller type of tests for a single unit root have excessive density in the explosive region of the distribution.
Haldrup, Niels, Prof., Lildholdt, Peter
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Unit Root Volatility Due to Covid-19 Epidemic in the Crude Oil Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2021 The price of crude oil is one of the most important indicators of the global economy, which is monitored by policymakers, producers, consumers, and participants in financial markets.
mojtaba rostami, Alireza Najjarpour
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On Bayesian routes to unit roots [PDF]
Journal of Applied Econometrics, 1991 Abstract This paper is a comment on P. C. B. Phillips, ‘To criticise the critics: an objective Bayesian analysis of stochastic trends’ [Phillips, (1991)]. Departing from the likelihood of an univariate autoregressive model different routes that lead to a posterior odds analysis of the unit root hypothesis are explored, where the ...
Schotman, Peter C, van Dijk, Herman K
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Secular decline in profit rates: time series analysis of a classical hypothesis [PDF]
The European Journal of Comparative Economics, 2018 Recent global financial crisis and ongoing turbulence in the global economy revived interest in the classical hypothesis of declining profit rates and vanishing profit opportunities as one of the reasons of economic instabilities.
Ivan D. Trofimov
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Threshold Autoregression with a Unit Root [PDF]
Econometrica, 2001 Summary: This paper develops an asymptotic theory of inference for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We find that the asymptotic null distributions of Wald tests for a threshold are nonstandard and different from the stationary case, and suggest basing inference on a bootstrap ...
Bruce E. Hansen, Mehmet Caner
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