ADF Unit Root Tests
Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests
... when the underlying process is nonlinear in nature. Therefore, we now turn to the examination of nonlinear regime-switching properties in art market indices. 3.2 Estimation results from the MS-ADF model There is ...
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Detrending Bootstrap Unit Root Tests
... bootstrap unit root tests is ...bootstrap ADF unit root tests is shown for test statistics based on full sample and recursive OLS and GLS ...
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Semi-parametric seasonal unit root tests
... Seasonal unit roots, weak dependence, long run variance, demodulated ...[ADF] unit root tests are known to suffer significant size distortions when a near-cancellation region caused by ...
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Semi-Parametric Seasonal Unit Root Tests
... The so-called HEGY approach outlined in section 2.3 adopts a parametric approach to modelling serial correlation present in u Sn+s of (2.1b). In this section we explore two alternative non- parametric approaches to ...
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Residual Augmented Fourier ADF Unit Root Test
... the unit root test of Enders and Lee (2012a) is extended using the RALS estimation procedure of Im and Schmidt ...While unit root tests of the FADF type allow smooth transitions of the ...
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Performing Unit Root Tests in EViews. Unit Root Testing
... the ADF statistic: If you had chosen to perform any of the other unit root tests (PP, KPSS, ERS, NP), the right side of the dialog would show the different options associated with the ...
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Unit Root Tests with Markov-Switching
... switching ADF tests are able to give sensible inferences about the ...switching ADF test, suggested by Hall, Psaradakis and Sola (1999), to the property prices in Hong Kong and ...of unit ...
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On Unit Root Tests and the Initial Observation
... available tests varies considerably with the magnitude of the initial condition, it is worthwhile to have available a unit root testing procedure whose power is more robust to the deviation of the ...
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Bootstrapping Unit Root Tests with Covariates
... covariate tests using as covariates the series consistently found to be either I(0) or I(1) by the above ...CADF tests than with the ADF test. With these new tests we can reject the null ...
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Markov regime switching and unit root tests
... the ADF tests when the generating process is ...the ADF test. These rejections are fairly severe, the 5% ADF test rejects at a more than 10% frequency for all but one of the combinations of ...
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Unit Root Tests of Canadian Poverty Measures
... three tests, models with and without a time trend are ...the ADF test and the DF-GLS test. Using three different unit root tests allows us to test the robustness of the results to the ...
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Bootstrap Unit Root Tests: Comparison and Extensions
... bootstrap tests have better finite sample size than all asymptotic tests ...bootstrap tests have better empirical size in finite samples than their asymptotic equivalent in the presence of a large ...
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Unit Root Tests and Heavy-Tailed Innovations
... of unit root tests and an evaluation of their resilience with respect to deviations from Gaussianity is of consid- erable empirical ...on unit root testing in processes with ...
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Bootstrap Unit-Root Tests: Comparison and Extensions
... bootstrap unit root tests that have recently been proposed in the ...new tests, show their first order asymptotic validity and compare them to existing ...The tests considered are ...
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State of the Art Unit Root Tests and the PPP Puzzle
... DF-GLS tests rather than ADF tests, long-run PPP has held over the twentieth ...the ADF tests and falls with the DF-GLS ...two tests is almost eliminated, and if one allows ...
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Unit Root Tests in Three-Regime SETAR Models.
... the tests when the underlying DGP is the random walk process with serially uncorrelated ...supremum-based tests show substantial size distortions. But the tests based on the average and the ...
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Unit Root Tests are Useful for Selecting Forecasting Models
... standard ADF test used in this paper is widely used as a pre-test for vector autoregressions, a similar analysis for multivariate cointegration tests would be ...
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Costs of misspecification in break-model unit-root tests
... DGP is the B1 model, for a relatively small shift in mean of one standard deviation, the power results depend crucially on -α. For -α=0.05, the power of the B1 alternative is only 14.97% for T b =75 and 7.00% for T b ...
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Numerical Distribution Functions for Unit Root and Cointegration Tests
... τ tests, using finite-sample P values generally leads to modestly smaller or modestly larger P values, but in the case of z tests it can lead to substantially smaller ...z tests calculated from ...
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Unit Root Tests with Wavelets
... wavelet tests for S b T,1 LM and S b T,1 Ld with serially correlated ...Ld tests to ensure that the empirical sizes are close to their nominal ones across these ranges of serially correlated ...MPP ...
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