Power comparison among tests for fractional unit roots [PDF]
, 2008 This article compares the asymptotic power properties of the Wald, the Lagrange Multiplier and the Likelihood Ratio test for fractional unit roots. The paper shows that there is an asymptotic inequality between the three tests that holds under fixed ...
Velasco Gómez, Carlos +2 more
core +1 more source
A simple panel-CADF test for unit roots [PDF]
, 2011 Copyright © Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2012. This is the accepted version of the following article: Costantini, M. and Lupi, C. (2013), A Simple Panel-CADF Test for Unit Roots.
Lupi, Claudio +3 more
core +1 more source
Asymmetric Convergence in Globalization? Findings from a Disaggregated Analysis [PDF]
Managing Global Transitions, 2016 Using the KOF index of globalization that allows for the multidimensionality of the process, the paper sets out to examine the presence of convergence among countries in the three dimensions of the globalization process: economic, social, political ...
Paschalis Arvanitidis +2 more
doaj
Unit roots in macroeconomic time series: theory, implications, and evidence [PDF]
Nova Economia, 2005 The theme of unit roots in macroeconomic time series has received a great amount of theoretical and applied research in the last two decades. This paper presents some of the main issues regarding unit root tests, explores some of the implications for ...
Gilberto Libanio
doaj
Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks [PDF]
Panoeconomicus, 2008 In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY
Tasseven Ozlem
doaj +1 more source
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
doaj +1 more source
Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries
Econometrics, 2017 This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables.
Jesús Clemente +3 more
doaj +1 more source
Spurious Rejections by Dickey-Fuller Tests in the Presence of an Endogenously Determined Break under the Null // Rechazos espurios de los test de Dickey-Fuller en presencia de una ruptura bajo la hipótesis nula endógenamente determinada [PDF]
Revista de Métodos Cuantitativos para la Economía y la Empresa, 2010 Leybourne et al. (1998) have proved the possibility of a "converse Perron phenomenon" when conventional Dickey-Fuller tests are applied to determine the order of integration of a time series.
Belaire Franch, Jorge +2 more
doaj
Cells, 2022 More efficient use of soil resources, such as nitrogen (N) and phosphorus (P), can improve plant community resistance and resilience against drought in arid and semi-arid lands.
Akash Tariq +8 more
doaj +1 more source