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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
doaj   +1 more source

Fractional Integration and Its Influence on Unit Root and Co- Integration Analysis

Economia Aplicada, 2016
This study assesses the power of traditional unit root and co-integration tests when they are applied to fractionally integrated stochastic processes in the 0 ≤ d ≤ 1 range.
Guilherme de Oliveira Lima C. Marques
doaj   +1 more source

Bayesian Unit Root Test with Outliers Observations: The Case of Daily Returns of 50 Active in Tehran Stock Exchange Companies [PDF]

مدلسازی اقتصادسنجی, 2019
The main drawback of classical ADF and PP tests is the low power of test in small samples and their asymptotic distribution discontinuous. In contrast, many prominent scholars support the Bayesian unit root tests. In the present study, Bayesian unit root
Mojtaba Rostami, Seyed Nezamuddin Makiyan   +1 more
doaj   +1 more source

Bootstrap innovational outlier unit root tests in dependent panels [PDF]

, 2012
In this paper, we propose new simple innovational outlier (IO) panel unit root tests with a break. A bootstrap method for dealing with cross-sectional dependence is provided and small sample properties of the bootstrap tests are investigated by Monte ...
Gutierrez, L, Mauro Costantini, Gutierrez, Luciano, Costantini, Mauro, Costantini, M, Luciano Gutierrez, Costantini M., GUTIERREZ L, COSTANTINI M   +8 more
core   +1 more source

Commodity Prices and Unit Root Tests [PDF]

American Journal of Agricultural Economics, 2007
AbstractPrice theory suggests that commodity prices should be stationary series. Yet, tests for unit roots rather frequently imply that these prices are not stationary. This seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn, soybeans, barrows and gilts, and milk.
Wang, Dabin, Tomek, William G.
openaire   +5 more sources

Tests for Unit Roots: A Monte Carlo Investigation [PDF]

Journal of Business & Economic Statistics, 1989
Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit ...
openaire   +1 more source

PROFIT RATE CONVERGENCE IN THE EUROPEAN ECONOMIC AREA: A PANEL DATA ANALYSIS [PDF]

Economic Horizons
This paper examines profitability disparities across the European economies using the aggregate and sectoral data for the period from 1995 to 2019 and applying a combination of panel unit root tests and the club convergence procedure.
Ivan D. Trofimov
doaj   +1 more source

Bounds, Breaks and Unit Root Tests [PDF]

Journal of Time Series Analysis, 2015
The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and ...
Carrión i Silvestre, Josep Lluís, Gadea Rivas, María Dolores   +1 more
openaire   +3 more sources

Efficient Market Hypothesis in South Africa: Evidence from Linear and Nonlinear Unit Root Tests [PDF]

Managing Global Transitions, 2015
This study investigates the weak form efficient market hypothesis (EMH) for five generalized stock indices in the Johannesburg Stock Exchange (JSE) using weekly data collected from 31st January 2000 to 16th December 2014.
Andrew Phiri
doaj  

The Efficiency Hypothesis in Financial Markets: An Application over OECD Countries

Ekoist Journal of Econometrics and Statistics
This study examines the stock market index values of OECD countries using traditional and current econometric methods to test the validity of the efficiency hypothesis in financial markets.
Derya Öz
doaj   +1 more source