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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.
Niels Haldrup, Peter Lildholdt
openalex +6 more sources
Commodity Prices and Unit Root Tests [PDF]
American Journal of Agricultural Economics, 2007 AbstractPrice theory suggests that commodity prices should be stationary series. Yet, tests for unit roots rather frequently imply that these prices are not stationary. This seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn, soybeans, barrows and gilts, and milk.
Da-Bin Wang, William G. Tomek
openalex +8 more sources
On the stability of the unit root test [PDF]
Afrika Statistika, 2011 Abstract. We propose to study, by two different approaches, Bayesian and classical, the test of the hypothesis of stationary first order autoregressive model against the random walk model. Therefore, we are going to present the classical approach and the Bayesian approach of this test says the unit root test.
Lynda Atil, Hocine Fellag
openalex +5 more sources
Unit roots in moving averages beyond first order [PDF]
Annals of Statistics 2011, Vol. 39, No. 6, 3062-3091, 2012 The asymptotic theory of various estimators based on Gaussian likelihood has been developed for the unit root and near unit root cases of a first-order moving average model. Previous studies of the MA(1) unit root problem rely on the special autocovariance structure of the MA(1) process, in which case, the eigenvalues and eigenvectors of the covariance
Davis, Richard A., Song, Li
arxiv +3 more sources
Inconsistency of a Unit Root Test against Stochastic Unit Root Processes [PDF]
SSRN Electronic Journal, 2008 In this paper, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for ...
Daisuke Nagakura
core +3 more sources
, 2004 Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model
Aparicio, Felipe M. +2 more
core +3 more sources
Estimation for Unit Root Testing [PDF]
arXiv, 2013 We revisit estimation and computation of the Dickey Fuller (DF) and DF-type tests. Firstly, we show that the usual one step approach, based on the "DF autoregression", is likely to be subject to misspecification. Secondly, we clarify a neglected two step approach for estimation of the DF test.
arxiv +3 more sources
, 2003 Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model
Aparicio, Felipe M. +2 more
core +2 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
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