Phillips-Perron Unit Root Test Results
A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
... nonparametric Phillips-Perron (PP) unit root ...these results we introduce modified PP tests that allow for fixed-b ...the unit root null hypothesis as well as for local ...
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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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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 ...
12
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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The Phillips unit root tests for polynomials of integrated processes
... these results as “empirical” ...e.g., Phillips (1987) when c > ...in unit root and cointegration ...of results from the integrated to the near integrated ...power results ...
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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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An Algorithm for Computing the Perron Root of a Nonnegative Irreducible Matrix
... introduce test matrices which are used to test for accuracy and convergence of our ...The results for computing the Perron root using test matrices will be given later in this ...
57
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 ...
16
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 ...nonlinear unit root test. This test eliminates this problem to add ...
10
Sequential test for unit root in AR(1) model
... the unit root process and near unit root ...the results which enables us to analyze the asymptotic properties in the case of local alternatives of near unit root ...the ...
29
Detecting Stationarity of GDP:A Test of Unit Root Tests
... on unit roots, consensus on several important issues and implications has not emerged to date (Libanio, ...of unit root and for these series, there is conflict between the researchers regarding the ...
31
LM Unit Root Test with Panel Data: A Test Robust To Structural Changes
... the test is reasonably close to the nominal size, and at the same time not too big so that the adverse e¤ect on the power remains ...panel unit root tests when the errors follow moving ...the ...
31
Some Cautions on the Use of the LLC Panel Unit Root Test
... The results reported in Table 6 for the parametric test are even ...+ test. In fact, based on the results presented here, τ δ + is uniformly more powerful than t ∗ δ ...the results ...
30
Empirical Similarity-Based Approach for Selection of Unit Root Test
... reliable unit root test in time series ...reliable unit root ...detector-based unit root selector that has the ability to prune all values of the AR parameter that ...
20
Stationarity of electromechanical propellers variables: a unit root test approach
... In this way, this work´s objective is to investigate the applicability of the mentioned tests, and on a second moment, to elaborate consistent and non-spurious mathematical models. The work is organized in the following ...
5
A New Bayesian Unit Root Test in Stochastic Volatility Models
... a unit root in the volatility of financial assets has been a long- standing topic of interest to econometricians and empirical ...the unit root has important implications for risk premium and ...
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Size distortion of bootstrap tests: application to a unit root test
... for unit root testing when one wishes to be quite agnostic as to the nature of the driving ...bootstrap test benefits from asymptotic ...Park’s results are shown to carry over to these sieve ...
26
Size distortion of bootstrap tests: application to a unit root test
... for unit root testing when one wishes to be quite agnostic as to the nature of the driving ...bootstrap test benefits from asymptotic ...Park’s results are shown to carry over to these sieve ...
27
An Improved Panel Unit Root Test Using GLS-Detrending
... tivariate unit root testing in order to construct a more powerful panel unit root ...Dickey-Fuller test. The …nite sample power properties of the new test demonstrate a very ...
42
Minimum LM Unit Root Test with One Structural Break
... LM unit root test does not matter under the null, it does matter when the alternative is ...as Perron (1989) initially showed, failure to allow for an existing structural break leads to a bias ...
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