Unit root test for equity flows
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), ...The test has been called the MT ...MT test ...
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A Permutation Test for Unit Root in an Autoregressive Model
... permutation test (based on a finite random sample of permutations) for unit root in an autoregressive process is con- ...The test can easily be carried out in practice and the proposed ...
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Residual Augmented Fourier ADF Unit Root Test
... the test statistics. FADF, RALS-FADF denote the test statistic for FADF test and RALS- FADF test ...RALS-FADF test is more powerful than the FADF test for all combinations of ...
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A New Nonlinear Unit Root Test with Fourier Function
... Christopoulos and Leon-Ledesma (2010) made a significant contribution to literature by proposing new test procedures that combine Fourier transformation and nonlinearity. This procedure is based upon using 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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Detecting Stationarity of GDP:A Test of Unit Root Tests
... on unit roots, consensus on several important issues and implications has not emerged to date (Libanio, ...of unit root and for these series, there is conflict between the researchers regarding the ...
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LM Unit Root Test with Panel Data: A Test Robust To Structural Changes
... the test is reasonably close to the nominal size, and at the same time not too big so that the adverse e¤ect on the power remains ...panel unit root tests when the errors follow moving ...the ...
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Some Cautions on the Use of the LLC Panel Unit Root Test
... parametric test are even ...modified test is expected to grow with the sample ...semiparametric test tend to be more powerful, the gain in power relative to the parametric test is generally ...
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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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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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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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Stationarity of electromechanical propellers variables: a unit root test approach
... the test, so it uses random values between ...the test, p values are obtained by the data ...KPSS test, the p values are right- tailed ...the test statistics, where the tests calculate its ...
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A New Bayesian Unit Root Test in Stochastic Volatility Models
... method. As a full likelihood-based method, MCMC provides a more efficient estimate of ϕ than the least square estimate of ϕ in the log-squared return process, provided the model is corrected specified. At stage 2, the BF is ...
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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
... to test for seasonal unit ...the test value is lower than the critical ...the test regression contains one lag of the endogenous ...the test regression includes an intercept, the ...
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A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis
... has asymptotic size and is consistent against the alternative H 1 in (2). Note that, although the parameter d indexing the family of tests is speci ed by the econo- metrician, it is not a tuning parameter in the sense ...
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