Unit Root Tests for Stationarity
Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests
... non-linear unit root tests this paper investigates non-stationarity of real GDP per capita for seven OECD countries over the period ...Non-linear unit root tests are more ...
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Current account sustainability for 21 African economies: Evidence based on nonlinear flexible Fourier stationarity and unit-root tests
... nonlinear tests under a wide class of ...developed stationarity and unit-root tests that mitigate the problem of selecting the most appropriate functional form in ...
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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 ...
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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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Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
... univariate unit root tests see Schwert, 1989). The negative MA root makes the observed series look like a stationary series, thus biasing the estimator of 0 ...
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Testing for a unit root against ESTAR stationarity
... the unit root tests considered in this paper to energy consumption ...a unit root process, then shocks to world energy markets have a permanent ...individual unit root ...
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Performing Unit Root Tests in EViews. Unit Root Testing
... , is a nonstationary series and the variance of increases with time and approaches infinity. If , is a (trend-)stationary series. Thus, the hypothesis of (trend-)stationarity can be evaluated by testing whether ...
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Bootstrapping Unit Root Tests with Covariates
... covariate tests using as covariates the series consistently found to be either I(0) or I(1) by the above ...CADF tests than with the ADF test. With these new tests we can reject the null hypothesis ...
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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 ...
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Semi-parametric seasonal unit root tests
... the stationarity region ...other tests, but overall finite sample power remains very similar across the ...frequency unit root tests reported in Figure 4 we see that, in line with the ...
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State of the Art Unit Root Tests and the PPP Puzzle
... Using this two-step procedure, Taylor finds 3 additional 5% rejections for the ADF test, and 1 additional 5% rejection for the DF-GLS test. He cites these extra rejections from including a time trend as an important ...
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Unit Root Tests in Three-Regime SETAR Models.
... a unit root be tested by the Wald statistic for the joint significance of autoregressive parameters in both lower and upper ...proposed tests are more powerful than the Dickey-Fuller test that ...
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The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
... the tests in relation to the sample dimensions T and N is one aspect of interest in our ...the tests rely upon different divergence rates for T and N , summarized for convenience in Table ...finite-T ...
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Stationarity of electromechanical propellers variables: a unit root test approach
... The tests execution provides the following information: h: In case it’s equal to 1, it indicates the rejection of the null hypothesis, while if it’s equal to 0, it indicates the null hypothesis; pValue: From the ...
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Unit Root Tests with Wavelets
... wavelet tests for S b T,1 LM and S b T,1 Ld with serially correlated ...Ld tests to ensure that the empirical sizes are close to their nominal ones across these ranges of serially correlated ...MPP ...
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Bootstrap Unit Root Tests
... non-Gaussian unit root ...The tests based on the bootstrap critical values in general have rejection probabilities that are substantially closer to their nominal ...
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Unit Root Tests with Wavelets
... Our tests utilize the scaling coefficients of the unit ...the unit scale to the total energy (variance) of the time ...our tests, including their asymptotic null distributions, consistency, ...
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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, ...
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Unit Root Tests with Markov-Switching
... The authors then went on to apply the test procedure to investigate the integration properties of consumer prices in Argentina. As argued in Diba and Grossman, whether or not the nonstationarity in prices reflects a ...
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On Unit Root Tests and the Initial Observation
... available tests varies considerably with the magnitude of the initial condition, it is worthwhile to have available a unit root testing procedure whose power is more robust to the deviation of the ...
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