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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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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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Testing for unit roots in market shares [PDF]
Marketing Letters, 2001 A unique characteristic of marketing data sets is the logical consistency requirement in market share models that market shares are bounded by 0 and 1, and they sum to unity. To take account of this logical consistency requirement, we propose to test for unit roots in individual market share series within the context of a market share attraction (MCI ...
Franses, P.H.B.F. +2 more
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Communications in Statistics - Theory and Methods, 2000
Based on the maximal invariant principle, we derive two ratio tests (locally best invariant test and point optimal test) for a unit root and compare them with previously proposed ratio tests. We also show that our ratio tests tend to have better powers than the Dickey-Fuller test and the modified Dickey-Fuller test.
Teruo Nakatsuma +3 more
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Based on the maximal invariant principle, we derive two ratio tests (locally best invariant test and point optimal test) for a unit root and compare them with previously proposed ratio tests. We also show that our ratio tests tend to have better powers than the Dickey-Fuller test and the modified Dickey-Fuller test.
Teruo Nakatsuma +3 more
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Unit-Root Tests and Excess Returns
SSRN Electronic Journal, 1998À en croire les résultats de plusieurs études menées récemment, il serait possible de représenter le logarithme des excédents de rendement observés sur le marché des changes et les autres marchés au moyen d'un processus intégré de premier ordre (I(1)).
Marie-Josée Godbout, Simon van Norden
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Economics Letters, 1994
Abstract It is known that the Phillips-Perron's modified Z α test as an approximation to the Dickey-Fuller test does not perform well when the process is generated by the unit ARMA(1, 1) model: y t = y t -1 + e t + θe t -1 with θ close to – 1.
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Abstract It is known that the Phillips-Perron's modified Z α test as an approximation to the Dickey-Fuller test does not perform well when the process is generated by the unit ARMA(1, 1) model: y t = y t -1 + e t + θe t -1 with θ close to – 1.
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Testing for Stationarity and Unit Root
1997The objective of this chapter is to present some of the most widely used tests of stationarity and unit root. These tests are widely used in the literature on international parity conditions as tests for the order of integration, mean reversion and cointegration.
Imad A. Moosa, Razzaque H. Bhatti
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‘Objective’ bayesian unit root tests
Journal of Applied Econometrics, 1992AbstractDue to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time‐series. Bayesian posterior odds comparing unit root models to stationary and trend‐stationary alternatives are calculated using informative priors.
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2019
Panel data with long time period have been used predominately in applied macroeconomic research like purchasing power parity, growth convergence, business cycle synchronisation and so on. In this chapter provides some theoretical issues and their application in testing for unit roots in panel data where the time dimension (T), and the cross section ...
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Panel data with long time period have been used predominately in applied macroeconomic research like purchasing power parity, growth convergence, business cycle synchronisation and so on. In this chapter provides some theoretical issues and their application in testing for unit roots in panel data where the time dimension (T), and the cross section ...
openaire +2 more sources