[PDF] Top 20 Testing for a Deterministic Trend when there is Evidence of Unit Root
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Testing for a Deterministic Trend when there is Evidence of Unit Root
... a unit root without drift [Panels (a) of Tables 4 and 5], rejection rates are as low as the significance levels for low values of the autocorrelation coefficient (less than ...a unit root with ... See full document
29
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 ...applied unit root tests with and without structural breaks and/or that take account of conditional heteroskedasticity to spot ... See full document
23
Testing Gibrat’s law: empirical evidence from panel unit root tests of turkish firms
... traditional unit root tests possess low power against near unit root alternatives (Diebold & Nerlove, ...verifying unit roots is the augmented Dickey-Fuller (ADF) test in which the ... See full document
9
Another Look at the Stationarity of Inflation rates in OECD countries: Application of Structural break GARCH based unit root tests
... classical unit root tests. Zhou (2013) applied nonlinearity-based unit root testing procedure to examine the stationarity of inflation rates of 12 European countries that form the Euro ... See full document
29
Testing for Stochastic and Beta convergence in Latin American Countries
... that when testing for pair wise Bernard and Durlauf (1995) convergence only one pair of countries, Dominican Republic and Paraguay, converged from out of 171 possible options pair wise ...options. ... See full document
21
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 ...type trend function rejects the null hypothesis of a unit ... See full document
7
Testing for a unit root against ESTAR stationarity
... linear deterministic trends. KSS suggest accommodating these deterministic features by prior OLS demeaning or demean- ing and detrending of the ...KSS unit root tests will often depend on the ... See full document
39
The comparison of optimization algorithms on unit root testing with smooth transition
... alternative trend specifications in testing for the unit root ...developed unit root tests where the alternative hypothesis is that of stationarity around a smoothly changing ... See full document
24
A unit root test based on smooth transitions and nonlinear adjustment
... 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 exponential ... See full document
13
A new unit root analysis for testing hysteresis in unemployment
... nonlinear unit root test based on the artificial neural network-augmented Dickey-Fuller (ANN-ADF) test for testing hysteresis in ...new unit root test, the linear, quadratic and cubic ... See full document
31
Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
... of unit root ...breaks unit root test where they extended the endogenous break test methodology of Zivot and Andrews(1992) test, to allow for two breaks under the alternative hypothesis of ... See full document
21
Is there hysteresis in South African unemployment? Evidence from the post recessionary period
... particular, when all unit root tests are performed with only an intercept then the unit root hypothesis is rejected across all the time series variables at all critical levels; that is ... See full document
32
Nonlinearly testing for a unit root in the presence of a break in the mean
... studying trend-and-break time ...the trend function, and the combination of both changes), it is interesting how the nonlinear-test statistic differs across these ...and trend, the nonlinear test ... See full document
33
Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test
... ADF unit root test with the three regression specifications: (i) no intercept and trend, (ii) intercept only and (iii) intercept with trend; are conducted and the results obtained are ... See full document
23
Unit root testing under a local break in trend using partial information on the break date*
... to testing for a unit root when partial information is available regarding the location, but not necessarily the presence, of a break in linear ...break unit root test, allows ... See full document
21
An Empirical Study of Dividend Payout and Future Earnings in Singapore
... various unit root ...using unit root tests with (1) a constant term, and (2) a constant term with time ...the unit root tests for non-stationarity ...that when estimating ... See full document
28
Impact of Model Specification Decisions on Unit Root Tests
... So, testing for presence of unit root is a circular testing problem, to test whether or not there is unit root depends on information about presence of linear trend in the model whereas,[r] ... See full document
28
THE SAVING-INVESTMENT RELATION IN THE POST-COMMUNIST ALBANIA
... This study examines the relation between domestic saving and domestic investment in the post- communist Albania using the ARDL bounds testing approach to cointegration. Results indicate the absence of a long-term ... See full document
10
Are Shocks to Barbados Long Stay Visitor Arrivals Permanent or Temporary: A Short Empirical Note
... common unit root ...and deterministic components. The null hypothesis, of a unit root process, is then rejected if the coefficient, , is significantly less than ...the ... See full document
16
Simultaneity of Crime Incidence in Mindanao
... for testing for unit root because regression results would all be fabricated when non-stationary series with unit root (Mushtaq, ... See full document
16
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