Results 1 to 10 of about 196,071 (311)

Does the shape of economic recovery matter? An alternative unit root test with new smooth transition model [PDF]

J Econ Asymmetries, 2022
Mehmet ÖZCAN
openalex   +3 more sources

The INVESTIGATION OF ASYMMETRIC DYNAMICS OF BORSA ISTANBUL INDEX WITH QUANTILE UNIT ROOT TEST

Applied Finance Letters
In this study, we apply the quantile unit root test, which provides robust inferences for non-normal processes based on the quantile autoregression approach, to examine the asymmetric dynamic process of the BIST100 Borsa Istanbul index.
Müge Özdemir
doaj   +3 more sources

The Test of Non-Linearity of Unit Root in Crude Oil Prices [PDF]

Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2023
There is good reason to expect crude oil prices to follow nonlinear models. However, previous research has considered the linear assumption to investigate the existence of a unit root.
Mohsen Eslami, Alireza Najjarpour
doaj   +1 more source

Unemployment Hysteresis: Attached or Mismatched?

Scientific Annals of Economics and Business, 2021
This paper investigates the empirical significance of the unemployment problem whether it is structural or temporary on the basis of region-based, income-based and aggregate classifications of different countries for the yearly data from 1991 to 2018. In
Onur Özdemir
doaj   +1 more source

High Persistence and Nonlinear Behavior in Financial Variables: A More Powerful Unit Root Testing in the ESTAR Framework

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, Aysegul Corakci, Esra Hasdemir   +2 more
doaj   +1 more source

A Monte Carlo study on the size and power of panel unit root tests: Limitations in small data sets

Croatian Operational Research Review, 2023
The aim of this paper is to explore the properties of various panel unit root tests in terms of their power and size regarding different panel data structures, with a special focus on small data samples.
Ivana Mravak
doaj   +1 more source

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   +2 more sources

Trends and random walks in macroeconomics time series: The unit root test considerations [PDF]

اقتصاد باثبات, 2022
In the time series econometric literature, data generation and stationary are important issues in model selection and estimation method. Difference Stationary and Trend Stationary processes are data generation procedures.
Mehdi Fathabadi
doaj   +1 more source

Bayesian Unit Root Test with Outliers Observations: The Case of Daily Returns of 50 Active in Tehran Stock Exchange Companies [PDF]

مدلسازی اقتصادسنجی, 2019
The main drawback of classical ADF and PP tests is the low power of test in small samples and their asymptotic distribution discontinuous. In contrast, many prominent scholars support the Bayesian unit root tests. In the present study, Bayesian unit root
Mojtaba Rostami, Seyed Nezamuddin Makiyan   +1 more
doaj   +1 more source

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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