Unit-root and Cointegration tests
Numerical Distribution Functions for Unit Root and Cointegration Tests
... these unit root and cointegration tests is well developed, it is not at all easy for applied workers to calculate the marginal signifi- cance level, or P value, associated with a given test ...
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Unit root and cointegration tests for cross-sectionally correlated panels - Estimating regional production functions
... panel unit root (Levin and Lin, 1992[23], 1993[24]; Levin, Lin and Chu, 2002[25]; Im Pesaran and Shin, 1997[18], 2003[19]; Choi, 2001[7]; Mad- dala and Wu, 1999[26]) correlations across units constitute ...
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The Sustainability of India's current account (1950-2003): Evidence from parametric and non-parametric unit root and cointegration tests
... formal cointegration analysis of Indian current account sustainability using a range of unit root and cointegration ...Johansen cointegration tests are twofold: on the one hand ...
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Evidence from panel unit root and cointegration tests that the Environmental Kuznets Curve does not exist
... Existence of Environmental Kuznets Curve 327 random walk. More complex processes include random walks with noise and integrated random walks. These variables are often also referred to as unit root, or ...
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Unit root and cointegration tests for cross-sectionally correlated panels. Estimating regional production functions
... panel unit root test results are ...of unit root processes for all ...Other tests show significant evidence in favor of a unit root ...the unit root in ...
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Unit Root Tests are Useful for Selecting Forecasting Models
... multivariate cointegration tests would be ...imposing cointegration in small samples ought to improve forecast accuracy, whether or not cointegration holds ...imposing cointegration may ...
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Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems
... trace tests which are also robust to each of these ...series unit root tests, because the inclusion of the trend term tends to further reduce the already low power of most unit ...
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Performing Unit Root Tests in EViews. Unit Root Testing
... unit root tests of a data series, and will be invalid if the series is based on estimated ...for cointegration which looks for a unit root in the residuals of a first-stage ...
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A Perspective on Unit Root and Cointegration in Applied Macroeconomics
... alternative tests for unit ...different tests. Sometimes, one test suggests that the time series has a unit root and the other tests says no it does ...
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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 in Three-Regime SETAR Models.
... threshold cointegration literature we assume that the process follows the random walk in the corridor regime, and therefore we propose that the null of a unit root be tested by the Wald statistic for ...
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The Phillips unit root tests for polynomials of integrated processes
... to these results as “empirical” LAP. In all simulations long-run and half-long run variances are estimated using the Bartlett kernel and the Andrews (1991) bandwidth rule. A process y t as given in (18) is called near ...
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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 ...The tests based on the bootstrap critical values in general have rejection probabilities that are substantially closer to their nominal ...
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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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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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Is Trade Good for Environment? A Unit Root Cointegration Analysis
... We analyse the impact of trade variables on environmental quality indicators both carbon dioxide emission (CO 2 ) and arable land (AL) separately. First Augmented Dickey-Fuller (ADF) test is used to examine whether the ...
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