Unit root tests and lag length selection
A New Criterion for Lag-Length Selection in Unit Root Tests
... examines lag selection problem in unit root tests which has become a major specification problem in empirical analysis of non-stationary time series ...of unit root ...
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Lag length selection for unit root tests in the presence of nonstationary volatility
... that lag order selection based on MAIC has a negative impact on the finite sample power of the resulting wild bootstrap ADF unit root test if nonstationary volatility is present, with the ...
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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
... that lag order selection based on MAIC has a negative impact on the finite sample power of the resulting wild bootstrap ADF unit root test if nonstationary volatility is present, with the ...
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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
... a unit root in the case where the driving shocks may be unconditionally ...the lag length in the unit root test regression is a deterministic function of the sample size, rather ...
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The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
... seasonal unit root testing delivers relatively good size across a range of DGPs and irrespective of whether it is used in the HEGY regression ...of lag coecients, then t-sq(10%) has the best size ...
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Lag Selection of the Augmented Kapetanios-Shin-Snell Nonlinear Unit Root Test
... ADF tests do not reject the unit root null hypothesis for any of the countries ...to lag selection of the augmented (nonlinear) KSS test. Two lag selection approaches are ...
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Unit Root Tests with Wavelets
... for unit root can be based on ˆ S T,1 L ...finite length L. Since as the length of the filter L increases, the approximation of the Daubechies wavelet filter to the ideal high-pass filter ...
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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 ...
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Performing Unit Root Tests in EViews. Unit Root Testing
... The first situation occurs when you are selecting the bandwidth parameter for the kernel-based estimators of . For the kernel estimators, EViews provides you with the option of using the Newey-West (1994) or the Andrews ...
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Seasonal Unit Root Tests: A Comparison
... last lag variable instead of the F statistic on all lag variables in the Kunst ...modified tests and two popular seasonal unit root tests, the DHF and HEGY overall F ...
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Unit Root Tests with Markov-Switching
... average length of time a bubble expands, and the magnitude of bubble are affected by the process parameters α , δ and π ...of tests depend critically on π , the probability per period that the bubble does ...
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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 ...
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Markov regime switching and unit root tests
... 0.98 0.24 0.18 0.09 0.98 0.34 0.27 0.19 To investigate this issue we performed Monte Carlo experiments to investigate the performance of the ADF tests when the generating process is (14). We parameterize the ...
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Efficient Tests of the Seasonal Unit Root Hypothesis.
... seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal ...a unit root at a given spectral frequency behaves asymptotically ...
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Unit Root Tests of Canadian Poverty Measures
... three tests, models with and without a time trend are ...one lag is appropriate when annual time series data are used, nevertheless the search for the optimal lag length is conducted over four ...
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Regression-based seasonal unit root tests
... and length of the root at the first seasonal harmonic frequency away from their null hypothesis values under H 0,1 , we also investigated the effects of departures in phase and length from the null ...
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Semi-parametric seasonal unit root tests
... Seasonal unit roots, weak dependence, long run variance, demodulated ...[ADF] unit root tests are known to suffer significant size distortions when a near-cancellation region caused by a ...
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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 ...
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Efficient Tests of the Seasonal Unit Root Hypothesis*
... seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal ...a unit root at a given spectral frequency behaves asymptotically ...
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Saddlepoint Approximations for Optimal Unit Root Tests
... with lag length selected by (33), is used to estimate the covariance structure the results are slightly less accurate, although still within around ...
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