Results 21 to 30 of about 9,463,202 (307)
, 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
García, Ana +2 more
core +1 more source
Interrelation of Bitcoin and Some Traditional Assets
Scientific Annals of Economics and Business, 2022 In the research, the causal relationships between Bitcoin, gold and oil prices were examined. The data of the research covers the period from 2015 to July 2020 and consists of daily price values.
Ekrem Tufan +2 more
doaj +1 more source
Tests for Unit Roots: A Monte Carlo Investigation [PDF]
Journal of Business & Economic Statistics, 1989 Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit ...
openaire +1 more source
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
doaj
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
openaire +3 more sources
An unconditional maximum likelihood test for a unit root [PDF]
, 1993 We investigate a test for unit roots in autoregressive time series based on maximization of the unconditional likelihood. This is the likelihood function appropriate for stationary time series.
González-Farias, Graciela +1 more
core +1 more source
An LM-Type Unit Root Test for Functional Time Series
MathematicsIn this paper, we propose a Lagrange multiplier (LM)-type unit root test for functional time series. The key novelty lies not in introducing a new LM principle but in establishing the asymptotic validity of such a test under the functional random walk ...
Yichao Chen, Chi Seng Pun
doaj +1 more source
Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series
Econometrics, 2016 In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR.
Nunzio Cappuccio, Diego Lubian
doaj +1 more source
A PANEL COINTEGRATION ANALYSIS: AN APPLICATION TO INTERNATIONAL TOURISM DEMAND OF THAILAND [PDF]
Annals of the University of Petrosani: Economics, 2010 This paper sought to find the long-run relationships between international tourist arrivals in Thailand and economic variables such as GDP, transportation cost and exchange rates during period of 1986 to 2007.
CHUKIAT CHAIBOONSRI +4 more
doaj
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
doaj +1 more source