Results 41 to 50 of about 4,784,645 (352)
On the interactions of unit roots and exogeneity [PDF]
Econometric Reviews, 1995 The paper considers the impact on estimation and inference of interactions between the existence of unit roots in a data generation process and the presence or absence of weak and strong exogeneity of conditioning variables for the parameters of interest in individual cointegrated linear relationships.
openaire +4 more sources
Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power
, 2001 It is widely known that when there are negative moving average errors, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and BIC tend to select a truncation lag that is
Serena Ng, Pierre Perron
semanticscholar +1 more source
Mathematics, 2021 In this study, we consider the hybrid nonlinear features of the Exponential Smooth Transition Autoregressive-Fractional Fourier Function (ESTAR-FFF) form unit root test.
Tolga Omay +2 more
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Unit Root Testing with Slowly Varying Trends [PDF]
, 2020 A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks filters out any trend component that satisfies some Lipschitz condition.
arxiv +1 more source
Efficient Tests for an Autoregressive Unit Root
, 1992 This paper derives the asymptotic power envelope for tests of a unit autoregressive root for various trend specifications and stationary Gaussian autoregressive disturbances.
G. Elliott, T. Rothenberg, J. Stock
semanticscholar +1 more source
Analysis of the Tax Compliance in the EU: VECM and SEM
Mathematics, 2021 Tax compliance is an important indicator for the proper functioning of the tax authority, influencing the budget revenue level. In this study, a Vector Error Correction Model (VECM) analysis was developed to identify the long-term relationships between ...
Marius-Răzvan Surugiu +2 more
doaj +1 more source
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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Numerical Distribution Functions for Unit Root and Cointegration Tests
, 1996 This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics.
J. MacKinnon
semanticscholar +1 more source
South African Journal of Economic and Management Sciences, 2020 Background: Namibia is an open economy where international trade accounts for a greater proportion of gross domestic product (GDP). Openness of the Namibian economy for the period 2010 to 2018 has been on average 111% of GDP.
Teboho Jeremiah Mosikari +1 more
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Polityki Europejskie, Finanse i Marketing, 2022 Efforts to get rid of poverty cause migration movements that have consequences not only for themselves, but also for future generations. Migration movements affect many economic variables such as human capital, demand, supply, the balance of payments ...
Hasan Yavuz, Agnieszka Parlinska
doaj +1 more source