Results 31 to 40 of about 1,328,097 (351)
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
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Testing unit root non-stationarity in the presence of missing data in univariate time series of mobile health studies [PDF]
, 2022 The use of digital devices to collect data in mobile health (mHealth) studies introduces a novel application of time series methods, with the constraint of potential data missing at random (MAR) or missing not at random (MNAR). In time series analysis, testing for stationarity is an important preliminary step to inform appropriate later analyses.
arxiv +1 more source
A New Approach to Unit Root Testing [PDF]
Computational Economics, 2010 A novel simulation based approach to unit root testing is proposed in this paper. The test is constructed from the distinct orders in probability of the OLS parameter estimates obtained from a spurious and an unbalanced regression, respectively. While the parameter estimate from a regression of two integrated and uncorrelated time series is of order O ...
Herwartz, Helmut, Siedenburg, Florian
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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
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A Simple Encompassing Test for the Deterministic and Bilinear Unit Root Models
Austrian Journal of Statistics, 2016 A new parameters’ encompassing test is proposed for deciding between the deterministic unit root processes with a structural break and the bilinear unit root model without such break.
Wojciech W. Charemza, Svetlana Makarova
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An Intersection Test for Panel Unit Roots [PDF]
Econometric Reviews, 2012 This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the ...
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An Improved Nonparametric Unit-Root Test [PDF]
SSRN Electronic Journal, 2012 This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.
Jiti Gao, Maxwell King
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Shortfalls of panel unit root testing [PDF]
Economics Letters, 2003 Abstract This paper shows that (i) magnitude and variation of contemporaneous correlation are important in panel unit root tests, and (ii) demeaning across the panel usually does not eliminate these problems.
Strauss, J., Yigit, T.
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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
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Approximate Bayes factors for unit root testing [PDF]
arXiv, 2021 This paper introduces a feasible and practical Bayesian method for unit root testing in financial time series. We propose a convenient approximation of the Bayes factor in terms of the Bayesian Information Criterion as a straightforward and effective strategy for testing the unit root hypothesis.
arxiv