Unit-root test results with structural break(s)
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 ...existing structural break leads to a bias in ...
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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 ...
6
Investigating Structural break GARCH based Unit root test in US exchange rates
... a 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 ...trended ...
25
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 ...
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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 ...
31
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 ...
15
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 ...
28
Nonlinearly testing for a unit root in the presence of a break in the mean
... single 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 ...
33
Costs of misspecification in break-model unit-root tests
... the unit-root null and a particular alternative model above, perhaps as implied by theory, the researcher may test only the particular ...a unit root but equally in which model ...
18
Testing for a unit root in the presence of a possible break in trend
... autoregressive unit root process around a deterministic linear trend function has been an issue at the core of econometric research for the last quarter ...a unit root test that allows ...
48
Nonlinearly testing for a unit root in the presence of a break in the mean
... single 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 ...
33
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 ...
56
Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
... First, we extend the results in (2) in Proposition 1. Hereafter, the summation is taken from t = 1 to n unless otherwise stated. Proposition 1 Let {θ t } be a sequence of i.i.d.real-valued random variables with ...
13
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
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 ...
33
The Impact of Structural Break(s) on the Validity of Purchasing Power Parity in Turkey: Evidence from Zivot-Andrews and Lagrange Multiplier Unit Root Tests
... While results from both the ADF unit root and the DF-GLS unit root test indicate mixed results, PPP holds for Turkey with the presence of structural breaks which ...
5
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 ...
21
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 ...
28
Another Look at the Stationarity of Inflation rates in OECD countries: Application of Structural break GARCH based unit root tests
... these unit root tests are still lacking in their inability to capture a very salient property of economic and financial series at different time ...ADF unit root test remains regardless ...
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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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