Further nonlinear unit root test results
CIPS test for Unit Root in Panel Data: further Monte Carlo results
... 2 Actually, this last setting was not taken into consideration by Pesaran in his experi- ments. It has been added because it allows to obtain a more complete description of the behaviour of the test. 3 The ...
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A New Nonlinear Unit Root Test with Fourier Function
... Traditional unit root tests display a tendency to be nonstationary in the case of structural breaks and ...form nonlinear unit root test. This test eliminates this problem ...
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A Nonlinear Unit Root Test in the Presence of an Unknown Break
... Ruhr Economic Papers Published by Ruhr-Universität Bochum RUB, Department of Economics Universitätsstraße 150, 44801 Bochum, Germany Technische Universität Dortmund, Department of Econom[r] ...
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A unit root test based on smooth transitions and nonlinear adjustment
... with unit roots has increasingly become one of the major topics for the investigators and practitioners to understand the response of economic systems to ...for unit root were proposed by Fuller ...
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A unit root test based on smooth transitions and nonlinear adjustment
... with unit roots has increasingly become one of the major topics for the investigators and practitioners to understand the response of economic systems to ...for unit root were proposed by Fuller ...
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A unit root test based on smooth transitions and nonlinear adjustment
... new unit root testing procedure which considers jointly for structural breaks and nonlinear ...and nonlinear adjustment is modeled by means of an ESTAR ...of test is quite close to the ...
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A nonlinear panel unit root test under cross section dependence
... panel unit root tests allowing for cross-section dependence have been proposed in the ...a nonlinear heterogeneous panel unit root test for testing the null hypothesis of ...
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Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks
... flexible unit root test that accounts jointly for the non-linear adjustments and structural ...the test itself is still relying on the strong assumption of cross-sectional independence and, ...
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A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks
... Traditional unit root tests have very weak power properties, especially in the case of negative moving averages ...wavelet-based unit root ...wavelet-based unit root tests, there ...
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A Nonlinear Panel Unit Root Test under Cross Section Dependence
... panel unit root tests allowing for cross section dependence have been pro- posed in the ...a nonlinear heterogeneous panel unit root test for testing the null hypothesis of ...
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A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model
... new nonlinear unit root test procedure with Fourier ...this test procedure, structural breaks are modeled by means of a Fourier function and nonlinear adjustment is modeled by ...
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A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model
... new nonlinear unit root test procedure with Fourier ...this test procedure, structural breaks are modeled by means of a Fourier function and nonlinear adjustment is modeled by ...
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Lag Selection of the Augmented Kapetanios-Shin-Snell Nonlinear Unit Root Test
... the unit root null hypothesis for any of the countries ...ADF test or the augmented nonlinear KSS test, resulting in four selection methods, namely, MAIC, GS, NMAIC and ...KSS ...
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A nonlinear alternative to the unit root hypothesis
... the unit root hypothesis against a smooth transition autoregressive model as the ...stationary nonlinear processes. Some new limit results are presented, extending earlier work, and two F type ...
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Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
... the results in this paper are largely of theoretical interest and have limited practical relevance to the modeling of actual time series data for the same reason that explosive AR(1) models are rarely applied to ...
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The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework
... representative unit root and cointegration tests includ- ing those derived by Dickey and Fuller (1979) and Engle and Granger (1987) have been ...inherent nonlinear adjustment caused by market ...
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Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries
... Granger-causality test results, we apply two complementary ...for unit roots and cointegration and, depending on the outcomes, testing for causality is undertaken within VAR models of different ...
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The Random Walk Hypothesis in Emerging Stock Market-Evidence from Nonlinear Fourier Unit Root Test
... “unit root test in the presence of structural break” assume the number, date or form of the structural ...of nonlinear deterministic terms Enders and Lee (2006) propose a new unit ...
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Pharmaceutical Price Convergence In The EU : Preliminary Results From The Panel Data Unit Root Test
... ABSTRACT This paper explores the case of market integration and price convergence in the European Union, specifically in the pharmaceutical industry. The EU has been experiencing market integration since 1992, through ...
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On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
... panel unit root tests proposed by Chang ...panel unit root test is valid under general error cross correlations for any N (the cross section dimension) as T (the time dimension of the ...
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