Unit Root Test
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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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 ...
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LM Unit Root Test with Panel Data: A Test Robust To Structural Changes
... panel unit root test based on the Lagrangian multiplier (LM) ...LM test based on the pooled likelihood function is given as the sum of the N individual LM statistics for each time ...normal ...
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A unit root test based on smooth transitions and nonlinear adjustment
... new unit root testing procedure which considers jointly for structural breaks and nonlinear ...of test is quite close to the nominal one and in terms of power; the new unit root ...
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A unit root test based on smooth transitions and nonlinear adjustment
... new unit root testing procedure which considers jointly for structural breaks and nonlinear ...of test is quite close to the nominal one and in terms of power; the new unit root ...
13
A unit root test based on smooth transitions and nonlinear adjustment
... new unit root testing procedure which considers jointly for structural breaks and nonlinear ...of test is quite close to the nominal one and in terms of power, the new unit root ...
12
Empirical Similarity-Based Approach for Selection of Unit Root Test
... reliable unit root tests in time series ...reliable unit root ...for unit root tests selection especially when prior knowledge of the autoregressive parameter value is not ...
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A New Bayesian Unit Root Test in Stochastic Volatility Models
... to test for a unit root in volatility dynamics in the context of stochastic volatility ...Bayesian unit root test of So and Li (1999, Journal of Business Economic Statistics) in ...
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Size distortion of bootstrap tests: application to a unit root test
... Although it is straightforward to estimate the parameters of an AR(p) process by a linear regression, estimating the parameter(s) of an MA or ARMA process is much less simple. In Galbraith and Zinde-Walsh (1994) and ...
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Size distortion of bootstrap tests: application to a unit root test
... Although it is straightforward to estimate the parameters of an AR(p) process by a linear regression, estimating the parameter(s) of an MA or ARMA process is much less simple. In Galbraith and Zinde-Walsh (1994) and ...
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An Improved Panel Unit Root Test Using GLS-Detrending
... data. Unit root tests are commonly used to address this ...(ADF) unit root ...this test, which leads to a vast literature attempting to overcome these ...ADF test by combining ...
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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 ...in unit root tests that makes it more difficult to reject a false null ...LM test ...
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Panel Seasonal Unit Root Test With An Application for Unemployment Data
... seasonal unit root test of Hylleberg et ...(2002). Test statistics are proposed and critical values are obtained by ...new test is applied for unemployment behaviour in industrialized ...
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A nonlinear panel unit root test under cross section dependence
... panel unit root tests allowing for cross-section dependence have been proposed in the ...panel unit root test for testing the null hypothesis of unit-root processes ...
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Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks
... flexible unit root test that accounts jointly for the non-linear adjustments and structural ...the test itself is still relying on the strong assumption of cross-sectional independence and, ...
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A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks
... Traditional unit root tests have very weak power properties, especially in the case of negative moving averages ...wavelet-based unit root ...wavelet-based unit root tests, there ...
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Why not use standard panel unit root test for testing PPP
... In this paper we have shown the consequences to the distribution of some panel unit root test statistics when testing the PPP theory. All the tests investigated are in‡uenced by a large extent. In ...
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A Robust Panel Unit Root Test in the Presence of Cross Sectional Dependence
... standard unit root test which is normally distributed ( Philips & Sul, 2003 ; Banerjee, 1999 ...robust unit root test in the panel data model is proposed which aims at ...
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A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
... for unit roots in heterogeneous panels has at- tracted a great of deal ...panel unit root test could partly deal with the ...panel unit root tests have been proposed in the ...
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A Nonlinear Panel Unit Root Test under Cross Section Dependence
... panel unit root tests allowing for cross section dependence have been pro- posed in the ...panel unit root test for testing the null hypothesis of unit-root processes ...
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