This paper deals with testing a time series with a structural break in its mean for a unit root when the break date is known. A nonlinear (with respect to coefficients) test equation is used, providing asymptotically efficient estimates. Finite-sample and quasi-asymptotic empirical distributions...

This paper replicates Leybourne et al. (1998), who propose a Dickey-Fuller type test for unit root that is most appropriate when there is reason to suspect the possibility of deterministic structural change in the series. We find that our replicated results are quite similar to the authors'...

In this study, we test the hypothesis that psychological barriers exist in 5 European Equity Market indices [ATX, CAC, DAX, FTSE, SMI]. We employ both a traditional methodology that assumes a uniform distribution of M-Values and a modified approach that accounts for the fact that the digits of...

Testing the assumption of independence between variables is a crucial aspect of spatial data analysis. However, the literature is limited and somewhat confusing. To our knowledge, we can mention only the bivariate generalization of Moran’s statistic. This test suffers from several...

Testing for the assumption of independence between spatial variables is an important first step in spatial conometrics. Usually the researchers use the bivariate generalization of the Moran’s statistic, specifying a spatial matrix a priori. This test is applicable only to detect linear...

A new non-causality test based on the notion of distance between ARMA models is proposed in this paper. The advantage of this test is that it can be used in possible integrated and cointegrated systems, without pre-testing for unit roots and cointegration. The Monte Carlo experiments indicate...

This paper adapts an already existing nonparametric hypothesis test to the bootstrap framework. The test utilizes the nonparametric kernel regression method to estimate a measure of distance between the models stated under the null hypothesis. The bootstraped version of the test allows to...

In this paper we test for the existence of a long-run savings-investments relationship in 18 OECD economies over the period 1970-2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual...

This paper replicates Cheung and Lai (1995), who use response surface analysis to obtain approximate finite-sample critical values adjusted for lag order and sample size for the augmented Dickey-Fuller test. We obtain results that are quite close to their results. We provide the Ox source code....

This paper explores the sensitivity of plug-in based subset tests to instrument exclusion in linear IV regression. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on subsets of the structural parameters. However, their...