Test unit root hypothesis
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
... ratio test, unit root hypothesis JEL Codes: C12, C22 ...The unit root testing problem has been and continues to be a testing problem of great theoretical interest in time series ...
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A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis
... proposed test is relatively close to the parametric power envelope, especially in the case with a linear time ...ratio test may su er from size distortion in small samples ...(2002) test, although ...
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A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis
... the test of Breitung ...ratio test is monotonic in d, and that d = 0:1 is the \power maximizing" choice among those power functions depicted, in the sense that it has uniformly (in c) higher power ...
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A nonlinear alternative to the unit root hypothesis
... joint unit root and linearity hypothesis against a second-order logistic smooth transition autoregressive (STAR) ...The test results complement earlier ...(PPP) hypothesis is at any ...
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A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
... the unit root hypothesis presented here has the property that the test statistics are free of tuning ...the test statistic which are not re ected in the asymptotic ...The test ...
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Efficient Tests of the Seasonal Unit Root Hypothesis.
... seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal ...optimal test of a unit root at a given spectral frequency behaves ...
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Efficient Tests of the Seasonal Unit Root Hypothesis*
... seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal ...optimal test of a unit root at a given spectral frequency behaves ...
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Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
... MT test McCabe and Tremayne (1995) derive a LBI test for the null of σ 2 ϕ = 0 against the alternative of σ 2 ϕ > 0 assuming that ϕ = 1 in (1), ...null hypothesis is a UR process and the ...
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The Random Walk Hypothesis in Emerging Stock Market-Evidence from Nonlinear Fourier Unit Root Test
... market hypothesis states that stock prices fully and accurately reflect all available information and securities are is appropriately priced at equilibrium level and there is no distortion in the pricing of ...
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A Permutation Test for Unit Root in an Autoregressive Model
... for unit root. The hypothesis that is of interest in applications because it corresponds to the hypothesis that it is appropriate to transform the times series by ...
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Panel unit root testing and the martingale difference hypothesis for German stocks
... can also be allowed for. This accommodates fat-tailed increments ε it with volatility clustering, and is particularly useful, since the data employed here do not have finite 4 th order moments (see the following ...
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A Confirmatory Analysis of the Unit Root Hypothesis for OECD Consumption-Income Ratios
... stationarity test of Hadri ...the test under the assumption of cross- sectional independence and asymptotic normality, while Panel B reports the bootstrap critical values allowing for general forms of ...
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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 ...
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Sequential test for unit root in AR(1) model
... ratio test (SPRT) based on the likelihood ratio is commonly used in sequen- tial tests, because it is the most powerful test against a simple alternative ...present unit root ...a test ...
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Public debt, the unit root hypothesis and structural breaks: a multi-country analysis
... a unit root when there is ...displays unit root test results with endogenous structural breaks for each discounted debt measure and for each model A, B and C of ZA (equations A1, A2, ...
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Fisher hypothesis: East Asian evidence from panel unit root tests
... Baharumshah et al . 2005). However, due to the unavailability of data, little study has been done to improve the power of test using longer span of data 1 . An alternative solution to circumvent the problem is to ...
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LM Unit Root Test with Panel Data: A Test Robust To Structural Changes
... data-based unit root tests has attracted much at- tention in applied ...null hypothesis that all time series contain a unit ...IPS test, which is obtained by standardizing the average ...
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Some Cautions on the Use of the LLC Panel Unit Root Test
... parametric test are even ...alternative hypothesis of stationarity, Tables 3, 5 and 6 reveal that there are massive power advantages to the τ δ + ...modified test is expected to grow with the sample ...
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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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