[PDF] Top 20 Nonlinearity and Smooth Breaks in Unit Root Testing

... the unit root tests utilized in the power analysis to examine the validity of the purchasing power parity (PPP) hypothesis for Argentina over the period ... See full document

... new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth ...our ... See full document

... both smooth and sharp, given that we use very long historical yearly data, and hence, both types of structural breaks are possibly to ...sharp breaks endogenously, unlike standard dummy variable ... See full document

... KSS unit root tests against an alternative hypothesis of ESTAR ...of nonlinearity under the ESTAR alternative and to the presence or otherwise of a linear deterministic ...in unit root ... See full document

... West African countries have long advocated efforts to promote economic integration and income convergence. In recent trends, Nigeria records the highest GDP in nominal value, yet its neighbouring countries are yet to ... See full document

... for unit root testing procedures and the joint analysis of nonlinearity and nonstationarity have been popularised since about the last twenty ...a unit root test within an ... See full document

... type unit root ...for unit root estimation serves as an important research question that has only been partially answered so far in the ...type unit root tests which naturally ... See full document

... new unit root test based on Autoregressive Neural Network (ARNN) nonlinearity is imperative since the evolution of the Neural Network (NN) ...by nonlinearity, the model will detect this ... See full document

... for unit root testing procedures and the joint analysis of nonlinearity and nonstationarity have been popularised in the last twenty ...a unit root test within an exponential ... See full document

... structural breaks in the deterministic trend of real wages (1973) and deflator ...of unit root, whereas the CS06 test does reject the null; the CS06 test rejects the null because one or more of the ... See full document

... Next, Table 2 employs the Flexible Fourier stationarity test for each series based on the estimated frequencies. I follow Burke (1994) and use a 10% significance level. Further, I choose a lag of eight for the truncation ... See full document

... Since the seminal works of Perron (1989) and Rappoport and Reichlin (1989), the growing literature explores various aspects of a structural break in time series, such as taking account of changes in any or all of a ... See full document

... exhibit breaks as revealed by the results. To demonstrate these breaks further, we plot the actual time paths of the real exchange rates series in Figure 1 which shows that there are structural ...and ... See full document

... about unit roots based on dynamic panel data models (see, Hlouskova and Wagner (2006), for a more recent ...is testing for a unit root in dynamic panel data model when the time dimension of ... See full document

... Fama (1970) proposed the concept of the efficient market hypothesis (EMH). He later suggested there are three categories of EMH; namely, weak-form efficiency, semi- strong-form efficiency and strong-form efficiency ... See full document

... 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 breaks and ... See full document

... nonlinear unit root test procedure with Fourier ...structural breaks are modeled by means of a Fourier function and nonlinear adjustment is modeled by means of an Exponential Smooth Threshold ... See full document

... Nonetheless, their paper suffers a major shortcoming that the test itself is still relying on the strong assumption of cross-sectional independence and, thus, may lead to a misleading co[r] ... See full document

... of nonlinearity may arise in the foreign exchange market due to heterogeneity of ...of nonlinearity in the deviations from the monetary fundamental equilibrium, showing that the exchange rate follows ... See full document

... multiple breaks to nonlinear ...of smooth-transition models in the con- text of an asymmetric US federal funds rate reaction function and conclude that there is strong evidence of sudden change as well as ... See full document