Results of unit root tests (ADF test statistics and probabilities)
A Century of PPP: Supportive Results from non-linear Unit Root Tests
... nonlinear unit root tests to longer data sets over a century is ...KSS tests reject the null in favor of PPP in 14 out of the same 16 real exchange ...the tests for the three developing ...
12
Unit Root Tests: Results from some recent tests applied to select Indian macroeconomic variables
... Unit Root Tests: Results from some recent tests applied to select Indian macroeconomic variables Results from newly developed unit roots tests of ERS (1996), PN ...
22
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 ...
31
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 ...
52
Seasonal Unit Root Tests: A Comparison
... modified tests and two popular seasonal unit root tests, the DHF and HEGY overall F tests, were compared through asymptotic distributions of the corresponding test statistics and the ...
183
Unit Root Tests with Markov-Switching
... How much this assumption affects the results is a question mark. Hence, one may wish to use the asymptotic distribution of the model parameters instead (Cavaliere, 2003). Before completing the paper, notice figure ...
38
On Unit Root Tests and the Initial Observation
... standard tests: rejections in favour of the I(0) alternative are obtained for all but six of the thirty starting ...ERS tests reject, the weighted average test also rejects, plus there are four further ...
19
Bootstrapping Unit Root Tests with Covariates
... test results of the remaining 5 series for which the null hypothesis can be consistently accepted or ...whose results are undetermined, we apply the covariate tests using as covariates the series ...
33
Markov regime switching and unit root tests
... on unit root tests, focusing on regime change in trend growth rate and variance, the form of structural change most often considered in the macroeconomics and finance ...and unit root ...
33
Efficient Tests of the Seasonal Unit Root Hypothesis.
... seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal ...a unit root at a given spectral frequency behaves asymptotically ...
41
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 ...
12
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 ...
36
Semi-parametric seasonal unit root tests
... 5.2. Results are reported for N = 50 and N = ...semi-parametric tests proposed in this paper and the corresponding feasible point optimal tests of Rodrigues and Tay- lor (2007), we explored both ...
55
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 ...
57
Efficient Tests of the Seasonal Unit Root Hypothesis*
... seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal ...a unit root at a given spectral frequency behaves asymptotically ...
40
Saddlepoint Approximations for Optimal Unit Root Tests
... The results for the ESP O test are given in Table 5, while those for the P T ∗ test are in Table ...the results using the maximum likelihood estimator Γ ˆ I are very similar to those obtained when the ...
35
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 ...
44
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 ...
53
Breaking trend panel unit root tests
... panel tests are ...all tests exhibit size distortions as shown in the upper panel of Table ...panel tests no longer suffer from severe over-rejections according to results in the lower panel ...
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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 ...
33