Unit Root Tests with Breaks
New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks
... data unit root tests, structural breaks, cross-section dependence JEL classification: C32, C33, F21, F32 Resum: En aquest article es duu a terme el contrast de la hipòtesi de paritat entre ...
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Seasonal Unit Root Tests under Structural Breaks
... seasonal unit root tests are investigated and a new test procedure is ...the breaks in the seasonal means are allowed to grow with the sample size, then the limits do ...such tests are ...
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The effects of variance breaks on homogenous panel unit root tests
... the unit root null hypothesis based on prior break date ...multiple breaks and trending ...of unit root tests proposed by Perron and Ng (1996), Stock (1999) and Ng and Perron ...
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New unit root tests with two smooth breaks and nonlinear adjustment
... three unit root testing procedures which consider jointly for two structural breaks and nonlinear ...structural breaks are modelled by means of two logistic smooth transition functions and ...
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New unit root tests with two smooth breaks and nonlinear adjustment
... three unit root testing procedures which consider jointly for two structural breaks and nonlinear ...structural breaks are modelled by means of two logistic smooth transition functions and ...
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Generalized �Fixed T Panel Unit Root Tests Allowing for Structural Breaks
... data unit root tests which allow for a structural breaks in the individual e¤ects or linear trends of panel data ...The tests consider the cases of a known and unknown date ...our ...
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Are Oil Prices Mean Reverting? Evidence from Unit Root Tests with Sharp and Smooth Breaks
... approximation unit root test techniques that account for both sharp shifts and smooth breaks in the series to analysis data oil prices series of the three major oil indices - OPEC, WTI and ...
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Testing the Random Walk Behavior in the Damascus Securities Exchange Using Unit Root Tests with Structural Breaks
... utilizes unit root tests that allow for endogenous structural breaks in the data, this includes the Zivot and Andrews one structural break, the Lumsdaine and Papell two structural ...
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Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks
... univariate unit root tests ...1981) tests (see, Mark, 1990; Bahmani-Oskoee, 1993, and Flynn and Boucher, ...ADF unit root tests have relatively low power to reject the ...
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Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks
... panel unit root tests without breaks to inflation rates and report the results in Table ...LM unit root test without structural changes in Table ...the unit root ...
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Persistence and stochastic convergence of euro area unemployment rates: evidence from LM and RALS-LM unit root tests with breaks
... EUA-related breaks in the relative unemployment rates series which were followed by the periods of convergence in all of the countries for which the breaks were ...RALS-LM unit root test, and ...
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The Power Performance of Fixed T Panel Unit Root Tests allowing for Structural Breaks
... data unit root tests, which have important practical ...panel unit root tests that do not allow for a break, the HT and KT tests have trivial asymptotic local power if ...
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Impact of Kyoto Protocol on Carbon Emissions: An Application of Panel Unit Root Tests with Structural Breaks
... Çalışmada Kyoto protokolünün karbon emisyonlarını azaltım noktasında anlamlı bir etkisinin olup olmadığı yapısal kırılmaları ve yatay kesit bağımlılığını dikkate alan [r] ...
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Nonlinearity and Smooth Breaks in Unit Root Testing
... Sollis unit root tests recommend that the null hypothesis of a unit root is rejected at the conventional significance ...a unit root at 1% significance level, which ...
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Range Unit Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers.
... Standard unit root tests suffer from a number of drawbacks when the usual assumptions are no longer ...near unit root time series, they are also seriously affected by other aspects of ...
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Markov regime switching and unit root tests
... structural breaks 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 ...
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Breaking trend panel unit root tests
... structural breaks in unit root ...the unit root null for per capita GDP is rejected for three countries and that for consumer prices for five countries, at conventional significance ...
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Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks
... standard unit root tests which leading to misleading findings with regards to the mean reversion of ...a unit root test for panel data accommodating the potential effects of (i) ...
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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 ...
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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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