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....

The main conclusion of the FM study relies on the fact that the average of the slopes of 402 regressions of the monthly returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn from the same normally distributed population, FM...

Granger (1966) describes how the spectral shape of an economic variable concentrates spectral mass at low frequencies, declining smoothly as frequency increases. Despite a discussion about how to assess robustness of his results, the empirical exercise focused on the evidence obtained from a...

There has been considerable debate in recent years about whether well-defined business cycles even exist. At one extreme are those who assert that so-called business cycles are caused by exogenous shocks. At the other extreme are those who believe that business cycles may be endogenous, i.e.,...

This study provides evidence of the relationship between credit and real activity in Central America and the Dominican Republic. We address the empirics of the link between credit and real activity for the case of a group of developing countries with limited financial markets where bank credit...

A typical finding in many empirical studies is that the production price-profit rate relationship is, by and large, monotonic. This paper derives, in terms of the usual single-product model, the spectral conditions that make possible the appearance of such monotonicity. Furthermore, using data...

Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices...

The comparison and classification of time series is an important issue in practical time series analysis. For these purposes, various methods have been proposed in the literature, but all have shortcomings, especially when the observed time series have different sample sizes. In this paper, we...

A spectral analysis of the Australian time series for the investment and savings ratio on monthly data over the period finds that the investment ratio is subject to a cycle of 6 months duration while the savings ratio series is concentrated on a longer swing of 4 to 6 years. The implications for...

When dealing with nonlinear econometric models, resort is often made to simulation techniques for the investigation of their dynamic properties. A spectral analysis using stochastic and analytic simulation is carried out on a nonlinear model of the Italian economy. The two approaces are...