Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) Unit root tests
Covariate Augmented Dickey-Fuller Tests with R
... 1992b,a; Phillips and Xiao ...finding unit root tests with better power properties (see Haldrup and Jansson 2006, for a recent survey of some of these ...of unit root ...
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On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
... Abstract Trend breaks appear to be prevalent in macroeconomic time series. Consequently, to avoid the catastrophic impact that unmodelled trend breaks have on power it is standard empirical practice to employ unit ...
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Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test
... of x) is the dependent variable and the independent variables are the set of 5 previous-differenced values of the x series. This analysis provides a "best-fit" mathematical equation for the relationship exhibited in Eq ...
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Bootstrapping Unit Root Tests with Covariates
... standard tests for a unit root, such as the ADF (Dickey and Fuller, 1979, 1981) and the Phillips and Perron (1988) tests, have low power against stationary ...
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Residual Augmented Fourier ADF Unit Root Test
... residual-based unit root test in the presence of smooth structural changes approximated by a Fourier ...Fourier Augmented Dickey Fuller test that introduced by Enders and Lee (2012a) ...
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A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
... PP unit root tests on serial correlation in the errors driving the unit ...PP tests, the fixed-b theory also indicates a finite sample difference between one-step and two-step ...the ...
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Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification
... a unit root test is based on a Dickey-Fuller regression whose only deterministic term is a fixed ...the Dickey-Fuller test can display a wide range of different characteristics ...
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On the use of integer and fractional flexible Fourier form Dickey-Fuller unit root tests
... Although instant changes in the deterministic component of macroeconomic aggregates are quite reasonable in some cases, in general they are not. This is a result of the very nature of the aggregate. For an aggregate to ...
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Optimal Fractional Dickey-Fuller Tests for Unit Roots
... fractional Dickey-Fuller (hereinafter, FDF) test for testing the null of unit root against the alternative of fractional ...optimal tests for some particular implementations, even for ...
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On the limiting behaviour of augmented seasonal unit root tests
... seasonal unit root tests of Dickey et ...admit unit roots at any of the zero or seasonal ...the tests, relative to the unaugmented ...
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Dickey-Fuller Type of Tests against Nonlinear Dynamic Models
... the tests is compared to that of the classical unit root tests by Dickey-Fuller and Phillips and Perron, and is found to be superior in terms of ...
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Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?
... DF tests are obvious: spurious rejections of the unit root null will arise and the problem may become rather dramatic when the standardized seasonal is ...
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Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification: comment
... the Dickey−Fuller test in the presence of trend ...the unit root tests in the presence of trend misspecification is very sensitive to the number of the initial observations that need to ...
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Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment
... for unit roots only when a relatively small number of initial observations is ...two unit root tests suggested in Fuller (1976) display remarkably different ...two unit ...
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ASSESSING INSTABILITY IN TRANSITION COUNTRIES USING PERRON’S MODIFIED AUGMENTED DICKEY-FULLER TEST
... More precisely, they argued that shocks are important over decade-long periods, especially for developing countries which are more prone to shocks, since they influence “policy” variables and thus estimates of the impact ...
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Finite sample effects of pure seasonal mean shifts on Dickey Fuller tests
... This assumption is rooted in the traditional trend-cycle-seasonal decomposition approach, which has evolved towards “conventional wisdom”, common belief or intuition. According to this intuition, such breaks change the ...
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On the finite-sample power of modified Dickey-Fuller tests: The role of the initial condition
... modified tests is ...of unit root tests, the results presented allow practitioners to select, and interpret the results of, alternative unit root tests in light of the ...
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Identifying Bubbles in Latin American Equity Markets: Phillips Perron based Tests and Linkages
... Abstract The identification of periods of price exuberance in equity markets is of great interest to policy makers and financial investors. In this paper, we identify financial bubble pe- riods within the major equity ...
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Bootstrap Unit Root Tests
... the Dickey-Fuller unit root tests for the fi- nite order autoregressive unit root models driven by iid errors, possibly with constant and linear time ...other unit ...
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Detrending Bootstrap Unit Root Tests
... of unit root testing, that is how to deal with deterministic ...bootstrap unit root tests in univariate time ...have tests that can take such trends into ...the unit ...
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