Results 21 to 30 of about 1,328,097 (351)
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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Unit Root Testing with Slowly Varying Trends [PDF]
, 2020 A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks filters out any trend component that satisfies some Lipschitz condition.
arxiv +1 more source
Bounds, Breaks and Unit Root Tests [PDF]
Journal of Time Series Analysis, 2015 The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and ...
Carrión i Silvestre, Josep Lluís +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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Efficient Tests for an Autoregressive Unit Root [PDF]
Econometrica, 1992 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.
Elliott, Graham +2 more
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Yapısal Kırılmalar Altında Kamu-Özel Kesim Yatırım Harcamaları İlişkisi(The Relationship Between Public and Private Investment Expenditures under Structural Breaks) [PDF]
Yönetim ve Ekonomi, 2016 Empirical differences about indirect effects of public investments on private investments (crowdingin or crowding-out effect) reflect different theoretical ideas.
Necmettin ÇELİK
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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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Tests for Unit Roots and the Initial Observation [PDF]
SSRN Electronic Journal, 2002 The paper analyzes the impact of the initial observation on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial observation. We then investigate the relationship of this optimal family to unit root tests in an asymptotic framework.
Muller, Ulrich, Elliott, Graham
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ARE THE REAL GDP SERIES IN ASIAN COUNTRIES NONSTATIONARY OR NONLINEAR STATIONARY? [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2013 This paper checks whether per capita real gross domestic product (GDP) series in 16 Asian countries are nonstationary or nonlinear and globally stationary during the period from 1970 to 2009, by applying the nonlinear unit root tests developed by ...
Nurun Nahar Jannati +2 more
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Are Current Accounts of Asian Economies Mean-reverting?: Nonlinear Unit Root Test Approach
East Asian Economic Review, 2005 This paper tests the mean reverting property of current account in the financial crisis-affected 5 counties of southeast Asia using nonlinear unit root tests of Park and shintani(2004). Our approach is based on the idea that a conventional unit root test
Bonghan Kim
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