Unit roots and stationarity
Stationarity and unit roots in spatial autoregressive models
... test stationarity in time domain, we analyse four of the most useful tests and their implications if they are applied in the spatial ...check stationarity in time domain are strongly based on a consistent ...
92
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 ...
31
On PPP, Unit Roots and Panels
... panel unit root tests (BN N and BN χ 2 ) lead to a rejection of the unit root null hypothesis and for the other two data sets the null hypothesis is not rejected (see columns 3 and 4 in Table ...for ...
36
Unit Roots and Cointegration in Panels
... Carlo simulations support the theoretical …ndings that the test based on estimating the mean under the null hypothesis (i.e. the initial observation is subtracted from the time series) outperforms tests based on ...
55
On PPP, Unit Roots and Panels
... panel unit root tests can be highly distorted for cross-sectionally correlated ...panel unit root and cointegration tests (including those of Levin et ...panel stationarity and unit root tests ...
34
Seasonal unit roots in trade variables
... differencing stationarity filter is inappropriately applied the true dynamic relations between the variables may not be revealed, and consequent forecasting performance will be poor (Frances, ...seasonal ...
19
An intersection test for panel unit roots
... panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection ...series unit root tests of the series in the panel, and ...
20
Unit roots in macroeconomic time series:
... a unit root, as the null hypothesis, it is not surprising that unit root tests usually conclude that there is a unit root in the ...general unit root tests have low ...of stationarity ...
32
Unit Roots in Inflation and Aggregation Bias
... the unit root ...the unit root null hypothesis between 33% and 42% of the times with disaggregation level one and a longer span of data, depending on the specification of the deterministic components in the ...
44
An intersection test for panel unit roots
... panel unit root test that alleviates these potential ...are unit root ...series unit root tests on the series in the ...panel unit root null whenever at least one of the p-values is smaller ...
21
Essays on threshold models with unit roots
... strict stationarity, covariance stationarity, geometric er- godicity and impulse response ...of unit roots which can be either xed or stochastic, and the second test checks for the presence ...
157
Unit roots: identification and testing in micro panels
... Figures 3 and 4 display the rejection frequencies at the 5% level of the vari- ous unit root tests for experiments in which the series are covariance stationary with α = 0.85, 0.86, ..., 0.99. Here we report ...
41
Panel Tests for Unit Roots in Hours Worked
... 4.3.5 Bai and Ng (2004, BN) Instead of treating the common factors as a nuisance, they become a direct object of further investigation in the BN testing framework. BN build on very similar assumptions as MP. BN call ...
35
Unit Roots and Structural Breaks: A Survey of the Literature
... contained unit roots and also the importance of nonstationary data when attempting to avoid the problem of a spurious regression in ...on unit roots concentrates on whether time series are ...
23
Non linearities and unit roots in G7 macroeconomic variables
... on unit roots tests for a large macroeconomic dataset for the G7 countries using linear tests and the three popular non-linear tests mentioned ...non-linear unit root tests using 249 macroeconomic ...
46
Non linearities and unit roots in G7 macroeconomic variables
... on unit roots tests for a large macroeconomic dataset for the G7 countries using linear tests and the three popular non-linear tests mentioned ...non-linear unit root tests using 249 macroeconomic ...
36
Cointegration and Unit Roots.
... Schwert suggests searching for the correct specification of the ARIMA process before testing for the presence of a unit root in the AR polynomial and provides the relevant crit[r] ...
13
Weak Unit Roots
... weak unit root is formulated precisely, and the preliminary results that are necessary for the development of the subsequent theories are ...weak unit root processes in Section ...weak unit root ...
43
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 tests DF , DF , KSS and KSS to ...
39
Decisions on Seasonal Unit Roots
... Iru wklv glvfulplqdwlrq sureohp/ d ydulhw| ri vwdwlvwlfdo whvwlqj surfhgxuhv kdyh ehhq vxjjhvwhg lq wkh olwhudwxuh1 Wkh whvw e| K|oohehuj hw do1 +4<<3/ KHJ\, zdv wkh uvw rqh wr vh[r] ...
25