Testing for Unit Roots
Unit roots: identification and testing in micro panels
... However, testing for unit roots in micro panels is motivated by considering the properties of several well- known estimators of autoregressive models in the unit root ...the unit root ...
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Unit roots: identification and testing in micro panels
... However, testing for unit roots in micro panels is motivated by considering the properties of several well- known estimators of autoregressive models in the unit root ...the unit root ...
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Testing for Unit Roots: What Should Students Be Taught?
... of testing for unit roots some- what ...a unit-root testing strategy that, in the end, corresponds to what is taught in textbooks and is popular in empirical work but which is more ...
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Testing for Unit Roots with Flow Data and Varying Sampling Frequency
... on testing for a unit root in a time series, only a relatively small amount of this research has been concerned with the differing ways in which the variable itself can be ...is testing for ...
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Testing for Unit Roots in Seasonal Time Series with Long Period.
... seasonal unit root ...seasonal unit roots test approaches, and the tables of critical values for testing seasonal unit roots are available (Dickey, Hasza, Fuller, 1984, hence- ...
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Testing for unit roots in three dimensional heterogeneous panels in the presence of cross sectional dependence
... of testing the presence of unit roots in panels of data has received a great deal of attention over the past decade; see for instance Quah (1994), Maddala and Wu (1999) and more recently Im, Pesaran, ...
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A sequential approach to testing seasonal unit roots in high frequency data
... concerns unit roots at all seasonal frequencies (π 2 = π α,1 = π β,1 = ...multiple testing procedure, is related to the size of the ...seasonal unit root test procedures is that more general ...
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Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
... of testing against stochastic trend and seasonality in the presence of structural breaks and unit roots at frequencies other than those directly under test, which we term unattended breaks and ...
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Testing for unit roots and cointegration in heterogeneous panels
... Table 4.35 The empirical power of the endogenous break max-I tt5 I panel LM unit root test using.. adjustment parameters from the endogenous-break test without shifts 177.[r] ...
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Testing for unit roots in time series data
... alternative methods for testing a single unit root in a general time series... k large and for n.[r] ...
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Testing for unit roots in panels by using a mixture model
... When no additional restrictions are imposed on the parameters in the model, the time-series processes for y it lead to very different behavior over time depending on whether the AR coefficient is unity or the AR coefficient ...
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Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels
... Introduction Testing the unit root hypothesis in linear panels has received much attention in recent ...classical unit root tests in univariate settings su¤er from low power against near unit ...
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Testing for unit roots in autoregressive moving average models: An instrumental variable approach
... In this paper we have proposed a test for a unit root in autoregressive moving average time series models based on an instrumental variable estimator. The main advantage of the instrumen[r] ...
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Testing for unit roots in the presence of uncertainty over both the trend and initial condition
... surround testing for a unit root in practice, namely uncertainty as to whether or not a linear deter- ministic trend is present in the data, and uncertainty as to whether the initial condition of the ...
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Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
... developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2009) ...of unit root statistics based ...
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Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
... 8 Conclusions In this paper we have investigated the impact that uncertainty over the presence or otherwise of a local quadratic trend in the underlying data generating process has on the quasi-differenced detrended ...
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Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms
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Testing for seasonal unit roots in heterogeneous panels
... A BSTRACT This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The ...
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Testing for seasonal unit roots by frequency domain regression
... the unit root tests of Choi and Phillips (1993) which utilise the ecient FDR estimator of Hannan ...seasonal roots whose limiting distributions are free from nuisance parameters, even in the presence of ...
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Testing for seasonal unit roots in monthly panels of time series
... seasonal unit roots. We focus on questions such as which unit roots are found at which frequencies and how these unit-root events are modified by the application of different ...
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