[PDF] Top 20 Structural breaks and unit root: evidence from Pakistani macroeconomic time series

Structural breaks and unit root: evidence from Pakistani macroeconomic time series

... a structural break in Pakistani data 5 ...eleven series studied ...a structural break in ...GDP series at ...money series experienced a one-time break in 1975 and 1976 ... See full document

20

Testing for weak form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks

... using unit root tests with varying degrees of econometrics ...results from these tests have been mixed in terms of support for the ...applied unit root tests with and without ... See full document

23

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

... univariate unit root tests ...ADF unit root tests have relatively low power to reject the null hypothesis of unit roots when the span of data is short or structural change have ... See full document

15

The Impact of Structural Break(s) on the Validity of Purchasing Power Parity in Turkey: Evidence from Zivot-Andrews and Lagrange Multiplier Unit Root Tests

... set from 1953 to ...the unit root hypothesis taking into account the possibility of structural breaks in the data, we perform the Zivot and Andrews and Lagrange Multiplier (LM) ... See full document

5

Analysis of Hysteresis in Unemployment Rates with Structural Breaks: the Case of Selected European Countries

... following unit root tests: parametric ADF test – Augmented Dickey–Fuller test (Dickey & Fuller, 1979), non-parametric PP test – Phillips–Peron test (Phillips & Perron, 1988), and KPSS ... See full document

9

Military Spending Response to Defense Shocks? International Evidence

... a series of panel unit root tests accommodating both cross-sectional dependence and structural breaks arising in the ...and structural breaks in the ...panel unit ... See full document

17

China's Regional Convergence in Panels with Multiple Structural Breaks

... two-time structural breaks in the ...panel-based unit root test has been developed by combining the p-value of the individual unit root test which allows for breaks ... See full document

43

Stability of the labour shares: evidence from OECD economies

... of time series models and unit root ...for structural changes in labour share using Lagrange Multiplier (LM) unit root tests with up to two structural ... See full document

22

Testing for Stochastic and Beta convergence in Latin American Countries

... uses time-series data from nineteen Latin American countries and the ...More evidence of stochastic convergence exists when allowing for structural breaks using the two-break ... See full document

21

Macroeconomic Determinants of Stock Market Capitalization in Pakistan:Fresh Evidence from Cointegration with unknown Structural breaks

... Numerous unit root tests are available on applied economics to test the stationarity properties of the ...These unit tests are ADF by Dickey and Fuller (1979), P-P by Philips and Perron (1988), KPSS ... See full document

41

The Random Walk Hypothesis in Emerging Stock Market-Evidence from Nonlinear Fourier Unit Root Test

... new unit root test which allows for an unknown number of structural breaks with unknown functional forms and nonlinearity in data generating process of stock prices series to test the ... See full document

5

Is Per Capıta Real GDP Stationary in High Income OECD Countrıes? Evidence from Panel Unıt Root Test With Multiple Structural Breaks

... univariate time series unit root tests with and without structural break and secondly apply first generation panel unit root tests, which are allowing cross section ... See full document

7

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 provides an ... See full document

7

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 time-dimension of the panel ( T ) is …xed, while the ... See full document

39

Random walk analysis with multiple structural breaks: Case study in emerging market of S&P BSE sectoral indices stocks

... and time varying mean in the financial series, it causes behavioural changes in the stochastic trend is known as a structural ...unknown structural breaks for the emerging market of ... See full document

11

A unit root test based on smooth transitions and nonlinear adjustment

... the time series analysis of models with unit roots has increasingly become one of the major topics for the investigators and practitioners to understand the response of economic systems to ...for ... See full document

13

Trade liberalization and regional income convergence in Mexico: a time series analysis

... is evidence in favor of absolute convergence, since the rates at which poor regions reduce income differences depend on their ini- tial level of ...with time-series, we find strong evidence ... See full document

17

Oil Price Shocks and Inflation Dynamics in Nigeria: Sensitivity of Unit Root to Structural Breaks

... in time series occasioned by failure to account for structural breaks in series as volatile as oil price in Nigerian specific studies, this study sought to find out whether ... See full document

7

Bayesian Model Averaging and Identification of Structural Breaks in Time Series

... a time series setting by Koop and Potter, ...problematic from a purist Bayesian ...(apart from the further simpli…cations of the marginal likelihood that it a¤ords) is usually premised on the ... See full document

28

The secular decline in profit rates: time series analysis of a classical hypothesis

... profit series data and in order to remove possible autocorrelation, a maximum lag of 4 (k = 4) was selected in both ZA and LP ...the breaks are selected within the „trimming region‟ specified as ... See full document

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