Results 11 to 20 of about 1,328,097 (351)
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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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
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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
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The Impact of Structural Break(s) on the Validity of Purchasing Power Parity in Turkey: Evidence from Zivot-Andrews and Lagrange Multiplier Unit Root Tests [PDF]
International Journal of Economics and Financial Issues, 2012 This study examines the validity of the purchasing power parity (PPP) in Turkey for annual data from 1953 to 2009. While results from both the ADF unit root and the DF-GLS unit root test indicate mixed results, PPP holds for Turkey with the presence of ...
Hakan Kum
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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 +1 more
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Cointegration and unit root tests: A fully Bayesian approach [PDF]
Entropy 2020, 22(9), 968, 1-23, 2020 To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis one way to detect stochastic trends is to test if the series has unit roots, and for multivariate studies it is often relevant to search for stationary linear relationships between the series, or if ...
arxiv +1 more source
Testing for unit roots based on sample autocovariances [PDF]
Biometrika 2022, Vol. 109, No. 2, 543-550, 2020 We propose a new unit-root test for a stationary null hypothesis $H_0$ against a unit-root alternative $H_1$. Our approach is nonparametric as $H_0$ only assumes that the process concerned is $I(0)$ without specifying any parametric forms. The new test is based on the fact that the sample autocovariance function (ACVF) converges to the finite ...
arxiv +1 more source
Testing for unit roots with stationary covariates [PDF]
Journal of Econometrics, 2000 We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates are available. We then derive tests which are simple to construct (involving the running
Elliott, Graham, Jansson, Michael
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The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity
Gadjah Mada International Journal of Business, 2011 This study empirically examines the behaviour of Indonesian stock market under the efficient market hypothesis framework by emphasizing on the random walk behaviour and nonlinearity over the period of April 1983 - December 2010.
Rahmat Heru Setianto +1 more
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Range Unit Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers [PDF]
, 2006 Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analysing time series with strong serial dependence in mean behaviour, the focus being placed on the detection of eventual unit roots in an ...
Aparicio, Felipe M. +2 more
core +3 more sources