This paper examines power issues for the ADF and four break models (Perron 1989, Zivot and Andrews 1992) when the DGP corresponds to one of the break models. Choosing to test an incorrect break model can but need not greatly reduce the probability of rejecting the null. Break points that are...

If the researcher tests each model in a battery at the a % significance level, the probability that at least one test rejects is generally larger than a %. For five unit-root models, this paper uses Monte Carlo simulation and the inclusion-exclusion principle to show for a %=5% for each test,...

This paper presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries during 1993:01-2003:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes,...

Over the last years there has been considerable interest in the application of long memory time series models in economics using ARFIMA models. Nowadays, the most popular estimator of the difference parameter in economic applications is that proposed by Geweke and Porter-Hudak (GPH) although has...

In many fields of economic analysis the order of integration of some economic magnitudes is of particular interest. Among other aspects, the order of integration determines the degree of persistence of that magnitude. The rate of inflation is a very interesting example because many contradictory...

In short-term evolution analysis, the economic time series are contamined by different types of noises which need to be erased in order to extract a trend signal. In the last years there has been increasingly developed some methods to estimate unobserved components based on the assumption that...

This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and...

The paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications. Issues such as, spurious regression, unit roots, cointegration, persistence, causality,...

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...