unit root tests
Unit Root Tests with Wavelets
... Our unit root tests provide a novel approach in disbalancing the energy in the data by con- structing test statistics from its lower frequency ...the unit root literature on three ...
31
Bootstrap Unit Root Tests
... Dickey-Fuller unit root tests for the fi- nite order autoregressive unit root models driven by iid errors, possibly with constant and linear time ...other unit root ...
52
Unit Root Tests with Wavelets
... modified tests with enhanced power subject to proper selection of a truncation ...existing unit root tests make direct use of time domain estimators of the coefficient of the lagged value of ...
50
Performing Unit Root Tests in EViews. Unit Root Testing
... The second part of the output shows the intermediate test equation that EViews used to calculate the ADF statistic: If you had chosen to perform any of the other unit root tests (PP, KPSS, ERS, NP), ...
12
Seasonal Unit Root Tests: A Comparison
... seasonal unit roots (i.e. unit roots at zero and seasonal frequencies) instead of a single unit ...identical unit roots, but if they have a common unit root at some frequency, ...
183
Unit Root Tests with Markov-Switching
... ADF tests are able to give sensible inferences about the ...of unit root tests for rational bubbles; the second give our estimation and test results; and the last section concludes the paper ...
38
Detrending Bootstrap Unit Root Tests
... of unit root testing, that is how to deal with deterministic ...bootstrap unit root tests in univariate time ...have tests that can take such trends into ...the unit ...
50
Bootstrapping Unit Root Tests with Covariates
... univariate tests for the presence of unit roots in aggregate economic time series have important implications for the conduct of domestic macro and international economic ...These tests unfortunately ...
33
Markov regime switching and unit root tests
... on unit root tests, there is a growing consensus that the number of regime changes in economic time series might be better modeled as arising from a probabilistic ...on unit root ...
33
Unit Root Tests of Canadian Poverty Measures
... both tests reject the null hypothesis of a unit root in panel data, indicating that all series are ...both tests confirm the existence of a unit root in the panel ...panel ...
12
Regression-based seasonal unit root tests
... seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests ...based ...
36
Semi-parametric seasonal unit root tests
... semi-parametric unit root tests to allow for unit root testing at the zero and seasonal frequencies in seasonally observed ...For tests involving the seasonal harmonic ...
55
Semi-Parametric Seasonal Unit Root Tests
... unit root literature; indeed, in discussing the ADF tests, Haldrup and Jansson (2006, ...these tests...” in favour of the M tests because of ...HEGY tests, like ADF ...
57
Bootstrap Unit Root Tests: Comparison and Extensions
... the tests. The first is the actual test statistic. While many different unit root tests are available, most papers restrict their attention to Dickey & Fuller (1979, 1981) type of ...Some ...
44
Unit Root Tests and Heavy-Tailed Innovations
... of unit root tests and an evaluation of their resilience with respect to deviations from Gaussianity is of consid- erable empirical ...on unit root testing in processes with ...
53
Second Generation Panel Unit Root Tests
... of tests belonging to the …rst generation to series that are characterized by cross-sectional dependencies leads to size distortions and low power (Banerjee, Marcellino and Osbat, 2000, Strauss and Yigit, ...panel ...
24
Breaking trend panel unit root tests
... Details of the bootstrap procedures are documented in the appendix. 4. Monte Carlo Simulation Results We conduct Monte Carlo simulation experiments to assess finite sample performance of the panel unit root ...
32
Bootstrap Unit-Root Tests: Comparison and Extensions
... bootstrap unit root tests that have recently been proposed in the ...new tests, show their first order asymptotic validity and compare them to existing ...The tests considered are ...
33
State of the Art Unit Root Tests and the PPP Puzzle
... powerful unit root test has the potential to tighten confidence intervals for ...efficient unit root tests on longer term data, this information moves us away from solving the PPP ...
27
Unit Root Tests in Three-Regime SETAR Models.
... proposed unit root tests that are designed to have power against globally stationary three regime SETAR ...proposed tests are shown to have better power than the DF test that ignores the three ...
24