Results 11 to 20 of about 9,463,202 (307)
The Theory of Purchasing Power Parity in MENA Countries: The Quantile Unit Root Test [PDF]
Iranian Journal of Economic Studies, 2020 This paper examines the theory of purchasing power parity aboutthe exchange rate of the dollar with local currencies in MENAcountries - the Middle East and North Africa - using a unit root testestablished on the quantile auto regressive model during the ...
Seyyed Ali Paytakhti Oskooe +1 more
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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
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Efficient Tests for an Autoregressive Unit Root [PDF]
Econometrica, 1996 Summary: The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series under various trend specifications. We propose a family of tests whose asymptotic power functions are tangent to the power envelope at one point and are never far below the envelope. When the series has
Elliott, Graham +2 more
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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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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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The market efficiency of the Tanzania stock market [PDF]
Banks and Bank Systems, 2016 The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient.
Josephine Njuguna
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, 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
García, Ana +2 more
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TOURISM DEMAND FOR BALI-THE HEGY APPROACH FOR SEASONAL UNIT ROOT TEST
Manajemen dan Bisnis, 2012 Tourism plays an important economic role for a destination. This study aims to investigate the behavior of seasonal direct tourist arrivals to Bali. To achieve the aforementioned objective archival data of direct tourist arrivals to Bali from 2001 to ...
Ida Bagus Made Wiyasha
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Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors [PDF]
The Egyptian Statistical Journal, 2020 In this paper, unit root test of bounded AR (2) model with constant and with independent errors has been derived, where estimation of the model, asymptotic distributions of OLS estimators under different tests of hypothesis and asymptotic distributions ...
Mohamed Farouk Ahmed +2 more
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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.
Wang, Dabin, Tomek, William G.
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