Unit Root Test Results with a Break
A Nonlinear Unit Root Test in the Presence of an Unknown Break
... Ruhr Economic Papers Published by Ruhr-Universität Bochum RUB, Department of Economics Universitätsstraße 150, 44801 Bochum, Germany Technische Universität Dortmund, Department of Econom[r] ...
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Minimum LM Unit Root Test with One Structural Break
... the break point with the minimum LM unit root test does not matter under the null, it does matter when the alternative is ...structural break leads to a bias in unit root ...
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Analysis of Income Convergence in G-20 Countries with Structural Break Unit Root Test
... 2 PhD in Economics, Nevsehir, Turkey. *Email: [email protected] ABSTRACT In the globalizing world, the convergence of countries can’t be avoided. Any phenomenon in a country can reach other countries within a ...
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Investigating Structural break GARCH based Unit root test in US exchange rates
... structural break-GARCH-based unit root test in studying the US exchange rates for twenty-two different currencies across America, Europe, Asia-Pacific and Southern ...structural ...
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Unit root testing under a local break in trend
... a unit root test that always allows for a break in trend, such as the test of ...no break in trend exists, this approach involves power losses when a break is present due ...
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Nonlinearly testing for a unit root in the presence of a break in the mean
... structural break affecting only the mean of a time series at a known date is still of interest, for example, in testing for the law of one price or purchasing power ...the test equations used are in fact a ...
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Costs of misspecification in break-model unit-root tests
... Some pairs of rejections are more likely than others when the null is false, depending on parameter shifts, time of the parameter shift in the sample period, speed of adjustment. etc. To avoid testing more than one ...
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Testing for a unit root in the presence of a possible break in trend
... the unit root null hypothesis, based on quasi difference de-trending, for the case where there is a possible one time change in the trend function occurring at an unknown point in the ...the break ...
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Nonlinearly testing for a unit root in the presence of a break in the mean
... structural break affecting only the mean of a time series at a known date is still of interest, for example, in testing for the law of one price or purchasing power ...the test equations used are in fact a ...
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Unit root testing under a local break in trend
... respective unit root test procedures and, since the simulation DGPs are similar, the nite sample powers, shown as functions of the trend break magnitude, appear similar ...these results ...
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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 ...
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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 ...
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LM-Type tests for a Unit Root Allowing for a Break in Trend
... the break is known a ...estimated break date approaches the true one when the unit root null hypothesis holds with a ...a break in the slope has occurred or ...no break case are ...
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Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries
... Granger-causality test results, we apply two complementary ...for unit roots and cointegration and, depending on the outcomes, testing for causality is undertaken within VAR models of different ...
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Unit root testing under a local break in trend using partial information on the break date*
... a unit root when partial information is available regarding the location, but not necessarily the presence, of a break in linear ...without- break unit root test, allows ...
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A Permutation Test for Unit Root in an Autoregressive Model
... the unit root assumption ...to test for the pres- ence of unit root, we can use the permutation test pro- posed in the ...
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Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function
... of unit root tests against trend stationary alternatives can be severely reduced when the true data generating process (DGP) involves structural breaks in the trend ...proposes unit root tests ...
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Identification of the true break date in innovational outlier unit root tests
... Dickey-Fuller-type unit root tests which account for a structural break occurring at an unknown point in ...The break is modelled by an innovational outlier ...the break date is ...
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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 ...
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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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