Results 1 to 10 of about 109,072 (312)

Cointegration and Unit Root Tests: A Fully Bayesian Approach [PDF]

Entropy, 2020
To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis, one way to detect stochastic trends is to test if the series has unit roots, and for multivariate ...
Marcio A. Diniz, Carlos A. B. Pereira, Julio M. Stern   +2 more
doaj   +2 more sources

Truncated Product Methods for Panel Unit Root Tests. [PDF]

Oxf Bull Econ Stat, 2013
Sheng X, Yang J.
europepmc   +2 more sources

The INVESTIGATION OF ASYMMETRIC DYNAMICS OF BORSA ISTANBUL INDEX WITH QUANTILE UNIT ROOT TEST

Applied Finance Letters
In this study, we apply the quantile unit root test, which provides robust inferences for non-normal processes based on the quantile autoregression approach, to examine the asymmetric dynamic process of the BIST100 Borsa Istanbul index.
Müge Özdemir
doaj   +3 more sources

Is Current Account of Turkey Sustainable ? Evidence from Nonlinear Unit Root Tests

Romanian Economic Journal, 2015
In this paper, current account sustainability of Turkey is analyzed in a nonlinear framework. Various nonlinear unit root tests have been used to test for structural break, sign and size nonlinearity. We have tested structural break and size nonlinearity
Serkan Taştan , Kıvanç Halil Arıç
doaj   +1 more source

Missing Values in Panel Data Unit Root Tests

Econometrics, 2022
Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a common time ...
Yiannis Karavias, Elias Tzavalis, Haotian Zhang   +2 more
doaj   +1 more source

bootUR: An R Package for Bootstrap Unit Root Tests

Journal of Statistical Software, 2023
Unit root tests form an essential part of any time series analysis. We provide practitioners with a single, unified framework for comprehensive and reliable unit root testing in the R package bootUR.
Stephan Smeekes, Ines Wilms
doaj   +1 more source

Smooth Break Detection and De-Trending in Unit Root Testing

Mathematics, 2021
This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions
Furkan Emirmahmutoglu, Tolga Omay, Syed Jawad Hussain Shahzad, Safwan Mohd Nor   +3 more
doaj   +1 more source

Testing the Validity of Purchasing Power Parity for Syria: Evidence from Non-Linear Unit Root Tests

Syrian Journal for Science and Innovation, 2023
This study aims to examine the empirical validity of Purchasing Power Parity (PPP) hypothesis for Syria in the context of unit root tests based on linear and non-linear models.
Linda Ali Ismaiel
doaj   +1 more source

UNIT ROOT TESTS WITH WAVELETS [PDF]

Econometric Theory, 2010
This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into
Gencay, Ramazan, Fan, Yanqin
openaire   +2 more sources

A Monte Carlo study on the size and power of panel unit root tests: Limitations in small data sets

Croatian Operational Research Review, 2023
The aim of this paper is to explore the properties of various panel unit root tests in terms of their power and size regarding different panel data structures, with a special focus on small data samples.
Ivana Mravak
doaj   +1 more source