Results 331 to 340 of about 1,328,097 (351)
Rank tests for unit roots [PDF]
Journal of Econometrics, 1997 Abstract In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical properties. Assuming i.i.d.
Breitung, Jörg, Gouriéroux, Christian
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A Primer on Unit Root Testing [PDF]
Journal of Economic Surveys, 1998 The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This
Peter C.B. Phillips, Zhijie Xiao
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Applied Economics, 1997
Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey–Fuller type.
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Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey–Fuller type.
DE ANGELIS D +2 more
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SSRN Electronic Journal, 2021
In this paper, we propose a unit root test for functional time series. We derive a new analytical framework for nonstationary functional time series. Specifically, for the proposed test statistic, we derive its limit distribution under the null hypothesis of a random walk and its asymptotic behavior of alternative hypotheses of trend stationary, weakly
Yichao Chen, Chi Seng Pun
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In this paper, we propose a unit root test for functional time series. We derive a new analytical framework for nonstationary functional time series. Specifically, for the proposed test statistic, we derive its limit distribution under the null hypothesis of a random walk and its asymptotic behavior of alternative hypotheses of trend stationary, weakly
Yichao Chen, Chi Seng Pun
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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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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″.
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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
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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
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, 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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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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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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