Results 41 to 49 of about 50 (49)
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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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Inconsistency of a Unit Root Test Against a Stochastic Unit Root Process [PDF]
SSRN Electronic Journal, 2008 In this article, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process against the alternative of a stochastic unit root (STUR ...
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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 ...
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Testing Unit roots by Bootstrap
2001PROCIDANO, Isabella, RIGATTI LUCHINI S.
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