Results 261 to 270 of about 1,976,655 (295)

Unit Root Tests

2003
Many economic and financial time series exhibit trending behavior or non-stationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most appropriate form of the trend in the data.
Jiahui Wang, Eric Zivot
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Unit-roots und Unit-root-Tests [PDF]

, 2001
Unit-roots und Kointegration sind zwei Gebiete der Zeitreihenanalyse, die seit einigen Jahren Gegenstand intensiver Forschungsarbeiten sind und enge Verbindungen zur Okonometrie aufweisen. In der Tat spricht man deshalb heute auch von einer ″time series econometrics″.
openaire   +1 more source

A Simple Panel Unit‐Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure

, 2016
This paper proposes a new simple panel unit-root test by extending the cross-sectionally augmented panel unit-root test (CIPS) developed by Pesaran et al.
Chingnun Lee, Jyh‐Lin Wu, Lixiong Yang
semanticscholar   +1 more source

Unit root tests

WIREs Computational Statistics, 2017
Unit roots are nonstationary autoregressive (AR) or autoregressive moving average (ARMA) time series processes which may include an intercept and/or a trend. These processes are used often in economics and finance, but can also be found in other scientific fields. Unit root tests address the null hypothesis of a unit root, and an alternative hypothesis
openaire   +2 more sources

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

, 1979
Let n observations Y 1, Y 2, ···, Y n be generated by the model Y t = pY t−1 + e t , where Y 0 is a fixed constant and {e t } t-1 n is a sequence of independent normal random variables with mean 0 and variance σ2.
D. Dickey, W. Fuller
semanticscholar   +1 more source

unit root tests [PDF]

, 1995
Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principles and recent developments. A numerical illustration and annotated references and bibliography are provided.
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Testing for unit roots

Economics Letters, 1987
Abstract This paper compares some recent tests for unit roots in observed time series data. The results indicate some sensitivity to lag truncation and the alternative maintained hypothesis. A procedure is recommended for using the Dickey–Fuller tests.
A.S. Downes, H. Leon, H. Leon
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A Consistent Test for a Unit Root [PDF]

Journal of Business & Economic Statistics, 1994
This article investigates several U.S. macroeconomic time series for the presence of a unit root using a newly developed test. This test has stationarity as its null hypothesis, and the alternative is a unit-root process. The test is shown to be consistent, and its asymptotic null distribution is determined.
Brendan McCabe, Stephen J. Leybourne
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The Fourier Quantile Unit Root Test with an Application to the PPP Hypothesis in the OECD

, 2017
With the introduction of new unit root tests, old theories receive a renewed attention. Quantile unit root test and Purchasing Power Parity (PPP) is no exception.
Mohsen Bahmani‐Oskooee, T. Chang, O. Ranjbar   +2 more
semanticscholar   +1 more source

Unit Root Tests

2018
A process might be non-stationary without being a unit root. The two concepts are related, but they are not identical and it is common to confuse the two. We can have non-stationarity without it being due to a unit root. We could have a seasonal model. Or, we could have a deterministic trend.
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