Unit root tests for the estimated residuals
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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Performing Unit Root Tests in EViews. Unit Root Testing
... Here, we have selected the PP test in the combo box. Note that the right-hand side of the dialog has changed, and now features a combo box for selecting the spectral estimation method. You may use this combo box to ...
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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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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 ...
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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.
... whether unit roots exist at other frequencies or ...Feasible tests which weaken the assumptions underpinning the point optimal tests are introduced in Section 4 and are shown to have identical ...
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The exact power envelope of tests for a unit root
... JEL Classi…cation: C12; C22. Abstract We show how to obtain the exact power envelope of tests for a unit root against trend-stationary alternatives, under normality. This is in contrast to the ...
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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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Regression-based seasonal unit root tests
... 1 tests are quite sensitive to movements of θ 1 from zero, even for small sample sizes, in both cases power increasing well above nominal ...the tests at other frequencies, some very interesting patterns ...
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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 ...
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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*
... whether unit roots exist at other frequencies or ...Feasible tests which weaken the assumptions underpinning the point optimal tests are introduced in Section 4 and are shown to have identical ...
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Saddlepoint Approximations for Optimal Unit Root Tests
... Abstract This paper provides a (saddlepoint) tail probability approximation for the distribution of an optimal unit root test. Under restrictive assumptions, Gaus- sianity and known covariance structure, ...
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Bootstrap Unit Root Tests: Comparison and Extensions
... bootstrap tests have better finite sample size than all asymptotic tests ...bootstrap tests have better empirical size in finite samples than their asymptotic equivalent in the presence of a large ...
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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 ...
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Second Generation Panel Unit Root Tests
... generation tests performs much better, but do not provide the validity of using bootstrap ...bootstrap unit root test has been proposed by Chang ...a unit root test based on the ...
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