LINEARITY AND UNIT ROOT TESTS RESULTS
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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Bootstrap Unit Root Tests
... non-Gaussian unit root ...simulation results obtained earlier by Nankervis and Savin ...The tests based on the bootstrap critical values in general have rejection probabilities that are ...
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Unit Root Tests with Wavelets
... Our tests utilize the scaling coefficients of the unit ...the unit scale to the total energy (variance) of the time ...our tests, including their asymptotic null distributions, consistency, ...
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Performing Unit Root Tests in EViews. Unit Root Testing
... Here, we have selected the PP test in the combo box. Note that the right-hand side of the dialog has changed, and now features a combo box for selecting the spectral estimation method. You may use this combo box to ...
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Seasonal Unit Root Tests: A Comparison
... seasonal unit roots (i.e. unit roots at zero and seasonal frequencies) instead of a single unit ...identical unit roots, but if they have a common unit root at some frequency, ...
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Unit Root Tests with Markov-Switching
... The authors then went on to apply the test procedure to investigate the integration properties of consumer prices in Argentina. As argued in Diba and Grossman, whether or not the nonstationarity in prices reflects a ...
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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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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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Bootstrapping Unit Root Tests with Covariates
... univariate tests for the presence of unit roots in aggregate economic time series have important implications for the conduct of domestic macro and international economic ...These tests unfortunately ...
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A Century of PPP: Supportive Results from non-linear Unit Root Tests
... The results in Table 1 for the RERs relative to the ...ADF tests reject the null of nonstationarity in favor of the alternative of linear stationarity for 12 of 19 RERs relative to the ...The results ...
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Unit Root Tests: Results from some recent tests applied to select Indian macroeconomic variables
... such results? Campbell and Perron (1991) argue that tests on data spanning a larger time period have more ...the tests must depend on the problem at hand, but results here are a strong ...
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Markov regime switching and unit root tests
... 0.98 0.24 0.18 0.09 0.98 0.34 0.27 0.19 To investigate this issue we performed Monte Carlo experiments to investigate the performance of the ADF tests when the generating process is (14). We parameterize the ...
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Efficient Tests of the Seasonal Unit Root Hypothesis.
... whether unit roots exist at other frequencies or ...Feasible tests which weaken the assumptions underpinning the point optimal tests are introduced in Section 4 and are shown to have identical ...
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The exact power envelope of tests for a unit root
... JEL Classi…cation: C12; C22. Abstract We show how to obtain the exact power envelope of tests for a unit root against trend-stationary alternatives, under normality. This is in contrast to the ...
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Unit Root Tests of Canadian Poverty Measures
... both tests reject the null hypothesis of a unit root in panel data, indicating that all series are ...both tests confirm the existence of a unit root in the panel ...panel ...
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Regression-based seasonal unit root tests
... 1 tests are quite sensitive to movements of θ 1 from zero, even for small sample sizes, in both cases power increasing well above nominal ...the tests at other frequencies, some very interesting patterns ...
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Semi-parametric seasonal unit root tests
... semi-parametric unit root tests to allow for unit root testing at the zero and seasonal frequencies in seasonally observed ...For tests involving the seasonal harmonic ...
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Semi-Parametric Seasonal Unit Root Tests
... unit root literature; indeed, in discussing the ADF tests, Haldrup and Jansson (2006, ...these tests...” in favour of the M tests because of ...HEGY tests, like ADF ...
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Efficient Tests of the Seasonal Unit Root Hypothesis*
... whether unit roots exist at other frequencies or ...Feasible tests which weaken the assumptions underpinning the point optimal tests are introduced in Section 4 and are shown to have identical ...
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Saddlepoint Approximations for Optimal Unit Root Tests
... Abstract This paper provides a (saddlepoint) tail probability approximation for the distribution of an optimal unit root test. Under restrictive assumptions, Gaus- sianity and known covariance structure, ...
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