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UNIT ROOTS IN WHITE NOISE [PDF]
Econometric Theory, 2011 We show that the empirical distribution of the roots of the vector autoregression (VAR) of order p fitted to T observations of a general stationary or nonstationary process converges to the uniform distribution over the unit circle on the complex plane, when both T and p tend to infinity so that (ln T)/p → 0 and p3/T → 0.
Harald Uhlig, Alexei Onatski
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Unit roots: Periodogram ordinate
Statistics & Probability Letters, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bhattacharyya, B. B. +2 more
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Econometric Theory, 2006
This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined. More precisely, we assume that the process is recursively defined by
Gourieroux, Christian +1 more
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This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined. More precisely, we assume that the process is recursively defined by
Gourieroux, Christian +1 more
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, 2008 Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic and financial time series. It therefore seems appropriate that this feature of the data be seriously addressed both in econometric methodology and in empirical practice. However, until recently this has not been the case.
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Applied Economics, 1997
Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey–Fuller type.
DE ANGELIS D +2 more
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Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey–Fuller type.
DE ANGELIS D +2 more
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Econometrica, 1981
Summary: [For part I see ibid. 49, 753-779 (1981; Zbl 0468.62021).] This paper investigates the exact sampling distribution of the least squares estimator of \(\beta\) in the model \(y_ t=\mu +\beta y_{t- 1}+u_ t\) where the \(u_ t\) are independently \(N(0,\sigma^ 2)\). The distribution is calculated for the case where \(y_ 0\) is a known constant and
Evans, G B A, Savin, N E
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Summary: [For part I see ibid. 49, 753-779 (1981; Zbl 0468.62021).] This paper investigates the exact sampling distribution of the least squares estimator of \(\beta\) in the model \(y_ t=\mu +\beta y_{t- 1}+u_ t\) where the \(u_ t\) are independently \(N(0,\sigma^ 2)\). The distribution is calculated for the case where \(y_ 0\) is a known constant and
Evans, G B A, Savin, N E
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Performance of unit-root tests for non linear unit-root and partial unit-root processes
Communications in Statistics - Theory and Methods, 2015ABSTRACTThis paper investigates the finite-sample performance of the augmented Dickey–Fuller (ADF), Phillips–Perron (PP), momentum threshold autoregressive (M-TAR), Kapetanios–Shin–Snell (KSS), and the inf-t unit-root tests. Simulation results show that the ADF and KSS tests have better size, whereas other tests generate severe size distortions when ...
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2003
Many economic and financial time series exhibit trending behavior or non-stationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most appropriate form of the trend in the data.
Eric Zivot, Jiahui Wang
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Many economic and financial time series exhibit trending behavior or non-stationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most appropriate form of the trend in the data.
Eric Zivot, Jiahui Wang
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Unit-roots und Unit-root-Tests
2001Unit-roots und Kointegration sind zwei Gebiete der Zeitreihenanalyse, die seit einigen Jahren Gegenstand intensiver Forschungsarbeiten sind und enge Verbindungen zur Okonometrie aufweisen. In der Tat spricht man deshalb heute auch von einer ″time series econometrics″.
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WIREs Computational Statistics, 2017
Unit roots are nonstationary autoregressive (AR) or autoregressive moving average (ARMA) time series processes which may include an intercept and/or a trend. These processes are used often in economics and finance, but can also be found in other scientific fields. Unit root tests address the null hypothesis of a unit root, and an alternative hypothesis
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Unit roots are nonstationary autoregressive (AR) or autoregressive moving average (ARMA) time series processes which may include an intercept and/or a trend. These processes are used often in economics and finance, but can also be found in other scientific fields. Unit root tests address the null hypothesis of a unit root, and an alternative hypothesis
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