Results 331 to 340 of about 6,213,269 (396)

Fourier Nonlinear Quantile Unit Root Test and PPP in Africa

Bulletin of Economic Research, 2020
We test the PPP hypothesis in 29 African countries using a newly developed nonlinear Quantile unit root test with a Fourier function which accounts for smooth breaks.
Mohsen Bahmani‐Oskooee, T. Chang, F. Niroomand, O. Ranjbar   +3 more
semanticscholar   +1 more source

Unit Roots [PDF]

, 2008
Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic and financial time series. It therefore seems appropriate that this feature of the data be seriously addressed both in econometric methodology and in empirical practice. However, until recently this has not been the case.
openaire   +1 more source

Bootstrapping unit root tests

Applied Economics, 1997
Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey–Fuller type.
DE ANGELIS D, FACHIN, Stefano, G. A. YOUNG   +2 more
openaire   +2 more sources

Beyond the Unit Root Question: Uncertainty and Inference

, 2020
A fundamental challenge facing applied time‐series analysts is how to draw inferences about long‐run relationships (LRR) when we are uncertain whether the data contain unit roots.
C. Webb, Suzanna Linn, Matthew J. Lebo
semanticscholar   +1 more source

Testing For Unit Roots: 1

Econometrica, 1981
Summary: [For part I see ibid. 49, 753-779 (1981; Zbl 0468.62021).] This paper investigates the exact sampling distribution of the least squares estimator of \(\beta\) in the model \(y_ t=\mu +\beta y_{t- 1}+u_ t\) where the \(u_ t\) are independently \(N(0,\sigma^ 2)\). The distribution is calculated for the case where \(y_ 0\) is a known constant and
Evans, G B A, Savin, N E
  +4 more sources

Unit Root Tests

2003
Many economic and financial time series exhibit trending behavior or non-stationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most appropriate form of the trend in the data.
Eric Zivot, Jiahui Wang
openaire   +2 more sources

Unit-roots und Unit-root-Tests

2001
Unit-roots und Kointegration sind zwei Gebiete der Zeitreihenanalyse, die seit einigen Jahren Gegenstand intensiver Forschungsarbeiten sind und enge Verbindungen zur Okonometrie aufweisen. In der Tat spricht man deshalb heute auch von einer ″time series econometrics″.
openaire   +1 more source

Approximate Conditional Unit Root Inference

Journal of Time Series Analysis, 2002
Based on Cox and Reid (1987) adjustments of likelihood ratio (LR) tests for unit roots in higher‐order autoregressive models are proposed. While unit root inference does not fit directly into the framework of Cox and Reid, the ideas are applied in models with multi‐dimensional parameters of interest and only asymptotic orthogonality of parameters.
Hansen, Henrik, Rahbek, Anders Christian
openaire   +2 more sources

THE NONSTATIONARY FRACTIONAL UNIT ROOT

Econometric Theory, 1999
This paper deals with a scalar I(d) process {yj}, where the integration order d is any real number. Under this setting, we first explore asymptotic properties of various statistics associated with {yj}, assuming that d is known and is greater than or equal to ½. Note that {yj} becomes stationary when d < ½, whose case is not our concern here.
openaire   +2 more sources

Marginal likelihood and unit roots

Journal of Econometrics, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Francke, M.K., de Vos, A.F.
openaire   +3 more sources