• No results found

Unit-root test results

Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries

Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries

... The results of the EG, JJ and S tests are summarised in Table ...the unit-root test results, in most cases the cointegration test results are also ...the results ...

28

Pharmaceutical Price Convergence  In The  EU :  Preliminary Results  From The  Panel  Data Unit Root Test

Pharmaceutical Price Convergence In The EU : Preliminary Results From The Panel Data Unit Root Test

... ABSTRACT This paper explores the case of market integration and price convergence in the European Union, specifically in the pharmaceutical industry. The EU has been experiencing market integration since 1992, through ...

12

CIPS test for Unit Root in Panel Data: further Monte Carlo results

CIPS test for Unit Root in Panel Data: further Monte Carlo results

... 2 Actually, this last setting was not taken into consideration by Pesaran in his experi- ments. It has been added because it allows to obtain a more complete description of the behaviour of the test. 3 The ...

13

Inconsistency of a Unit Root Test against Stochastic Unit Root Processes

Inconsistency of a Unit Root Test against Stochastic Unit Root Processes

... the results in this paper are largely of theoretical interest and have limited practical relevance to the modeling of actual time series data for the same reason that explosive AR(1) models are rarely applied to ...

13

Residual Augmented Fourier ADF 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 ...

16

A New Nonlinear Unit Root Test with Fourier Function

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 ...

10

Sequential test for unit root in AR(1) model

Sequential test for unit root in AR(1) model

... the unit root process and near unit root ...the results which enables us to analyze the asymptotic properties in the case of local alternatives of near unit root ...the ...

29

Detecting Stationarity of GDP:A Test of Unit Root Tests

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 ...

31

LM Unit Root Test with Panel Data: A Test Robust To Structural Changes

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 ...

31

Some Cautions on the Use of the LLC Panel Unit Root Test

Some Cautions on the Use of the LLC Panel Unit Root Test

... The results reported in Table 6 for the parametric test are even ...+ test. In fact, based on the results presented here, τ δ + is uniformly more powerful than t ∗ δ ...the results ...

30

Empirical Similarity-Based Approach for Selection of Unit Root Test

Empirical Similarity-Based Approach for Selection of Unit Root Test

... reliable unit root test in time series ...reliable unit root ...detector-based unit root selector that has the ability to prune all values of the AR parameter that ...

20

Stationarity of electromechanical propellers variables: a unit  root test approach

Stationarity of electromechanical propellers variables: a unit root test approach

... In this way, this work´s objective is to investigate the applicability of the mentioned tests, and on a second moment, to elaborate consistent and non-spurious mathematical models. The work is organized in the following ...

5

A New Bayesian Unit Root Test in Stochastic Volatility Models

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 ...

23

Size distortion of bootstrap tests: application to a unit root test

Size distortion of bootstrap tests: application to a unit root test

... for unit root testing when one wishes to be quite agnostic as to the nature of the driving ...bootstrap test benefits from asymptotic ...Park’s results are shown to carry over to these sieve ...

26

Size distortion of bootstrap tests: application to a unit root test

Size distortion of bootstrap tests: application to a unit root test

... for unit root testing when one wishes to be quite agnostic as to the nature of the driving ...bootstrap test benefits from asymptotic ...Park’s results are shown to carry over to these sieve ...

27

An Improved Panel Unit Root Test Using GLS-Detrending

An Improved Panel Unit Root Test Using GLS-Detrending

... tivariate unit root testing in order to construct a more powerful panel unit root ...Dickey-Fuller test. The …nite sample power properties of the new test demonstrate a very ...

42

Minimum LM Unit Root Test with One Structural Break

Minimum LM Unit Root Test with One Structural Break

... 4. Results show that the empirical critical values are mostly invariant to the magnitude of a break under the ...LM test is free of size distortions and spurious rejections in the presence of a unit ...

16

Panel Seasonal Unit Root Test With An Application for Unemployment Data

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 results for the panel dimension N = ...the test regression contains one lag of the endogenous ...the ...

33

A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis

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 ...

47

A nonlinear panel unit root test under cross section dependence

A nonlinear panel unit root test under cross section dependence

... nonlinear unit root tests, and then uses stochastic simulations to obtain the distributions of these statistics and critical ...nonlinear unit root test under alternative scenarios and ...

31

Show all 10000 documents...

Related subjects