Results 11 to 20 of about 5,733,832 (305)
On the Robustness of Unit Root Tests in the Presence of Double Unit Roots [PDF]
Journal of Time Series Analysis, 2000 We examine some of the consequences on commonly used unit root tests when the underlying series is integrated of order two rather than of order one. It turns out that standard augmented Dickey-Fuller type of tests for a single unit root have excessive density in the explosive region of the distribution.
Haldrup, Niels, Prof., Lildholdt, Peter
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Testing for unit roots with stationary covariates [PDF]
Journal of Econometrics, 2000 We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates are available.
Elliott, Graham, Jansson, Michael
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Efficient Tests for an Autoregressive Unit Root [PDF]
Econometrica, 1996 Summary: The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series under various trend specifications. We propose a family of tests whose asymptotic power functions are tangent to the power envelope at one point and are never far below the envelope. When the series has
Elliott, Graham +2 more
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Technological Convergence in Emerging Economies: An Investigation with Unit Root Tests
İktisat Politikası Araştırmaları Dergisi, 2023 Technological developments play an important role in economic growth and development and form the basis in the convergence of socioeconomic factors between developed and developing countries, especially income.
Mustafa Zuhal
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Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity [PDF]
Applied Economic Analysis, 2022 Purpose – This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries.
Saban Nazlioglu +3 more
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Explosive behavior and rational bubbles: Evidence from the Serbian hyperinflation at daily frequency [PDF]
Panoeconomicus, 2022 Using recently developed right-tailed sequential unit root tests at daily frequency in the extreme portion of the Serbian hyperinflation, we found that the money supply and the exchange rate exploded while the economy was approaching the maximum
Petrović Pavle, Mladenović Zorica
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Stationarity of seasonal patterns in weekly agricultural prices
Spanish Journal of Agricultural Research, 2018 Weekly series of agricultural prices usually exhibit seasonal variations and the stationarity of these variations should be taken into account to analyse price relationships.
José J. Cáceres-Hernández +1 more
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Checking convergence hypothesis of the Russia tourist market
European Journal of Tourism Research, 2020 The purpose of the article is to study the convergence hypothesis for the main countries which have tourist flows to Russia. To test the convergence hypothesis, the authors follow existing papers by applying a unit root test between the total number of ...
Yulia Pshenichnykh +2 more
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Unit Root Test of Bounded AR (2) without Constant Model in Case Dependent Errors [PDF]
مجلة الشروق للعلوم التجارية, 2021 In this paper, the test of unit root for bounded AR (2) model without constant and dependent errors has been derived. Asymptotic distributions of OLS estimators and statistics under different tests of hypotheses have been derived. A simulation study has
Dr.Mohammed Ahmed Farouk
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, 2003 Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model
García, Ana +2 more
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