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It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10009275698
construct the valid moment conditions (including the stationarity moment conditions) for the case without explanatory variable …
Persistent link: https://www.econbiz.de/10010643254
presents a multivariate econometric framework for analyzing hysteresis, which allows one to test different hypotheses about non-stationarity … period 1988 up to the onset of the financial crisis, the non-stationarity of UK unemployment cannot be explained as a result …
Persistent link: https://www.econbiz.de/10010690214
We study the phenomenon of spurious regression between two random variables when the generating mechanism for individual series follows a stationary process around a trend with (possibly) multiple breaks in its level and slope. We develop relevant asymptotic theory and show that spurious...
Persistent link: https://www.econbiz.de/10005706276
The goal of this paper was to introduce some general issues of non-stationarity for practitioners, students and …
Persistent link: https://www.econbiz.de/10008784968
driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have … used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error …
Persistent link: https://www.econbiz.de/10011109521
We study the phenomenon of spurious regression between two random variables,when the generating mechanism of individual series is assumed to follow a stationary process around a trend with (possibly) multiple breaks in the level and slope of trend. We develop the relevant asymptotic theory and...
Persistent link: https://www.econbiz.de/10011112271
The small sample performance of Granger causality tests under different model dimensions, degree of c cointegration …
Persistent link: https://www.econbiz.de/10005793858
The small sample performance of Granger causality tests under different model dimensions, degree of cointegration …
Persistent link: https://www.econbiz.de/10005807589
Watson(1995), more appropriate critical values through Monte Carlo experiments, and fractional cointegration. Results show … that the PPP hypothesis is not necessarily rejected from the viewpoint of fractional cointegration, although analyses …
Persistent link: https://www.econbiz.de/10010894543