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Testing I(1) Against I(d) Alternatives in the Presence of Deteministic Components
Dolado, Juan Jose - 2007
This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d [0, 1). This is an important test in many economic applications because...
Persistent link: https://www.econbiz.de/10012729614
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Testing Fractional Persistence and Nonlinearity in Infant Mortality Rates of Asia Countries
Yaya, OlaOluwa S.; Adekoya, Olusegun; Babatunde, Oluwagbenga - 2021
The infant mortality rates in 45 Asian countries (1960-2018), obtained from the Federal Reserve Bank of St. Louis database, are investigated using the I(d) framework, which allows for simultaneous estimation of the degree of persistence and nonlinearities in infant mortality rates as well as...
Persistent link: https://www.econbiz.de/10013214852
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A Simple Unit Root Test For Near-I(2) Time Series
Morin, Lealand - 2020
We consider the problem of testing for unit root in time series where the error term of the series is near unit root. As the error term approaches unit root, existing tests no longer retain reasonable small sample properties. We introduce a test statistic that is well-behaved in small sample...
Persistent link: https://www.econbiz.de/10012847666
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Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order : Critical Comments
Luitel, Hari; Mahar, Gerry - 2022
In this research note, we accomplish two objectives. First, we reexamine the reliability of unit root findings in the study by Said and Dickey (1984) and show that their results are internally consistent. Second, we provide new results from the reanalysis of the original data that were not...
Persistent link: https://www.econbiz.de/10013309626
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - 2018
Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the …. Limit theory for the sample kurtosis reveals that STUR specifications provide two sources of excess kurtosis, both of which … decline with the sampling interval. Limiting kurtosis is shown to be random and is a functional of the limiting price process …
Persistent link: https://www.econbiz.de/10011948760
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 227 (2022) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
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Testing for unit-roots with breaks : evidence on the great crash and the unit-root hypothesis reconsidered
Nunes, Luis C.; Newbold, Paul; Kuan, Chung-ming - 1994
Persistent link: https://www.econbiz.de/10000891463
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Seasonal unit roots, structural breaks and cointegration
Hall, Stephen G.; Scott, Andrew - 1990
Persistent link: https://www.econbiz.de/10000130886
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Structural break and unit root : Australian evidence
Silvapulle, Paramsothy; Maddock, Rodney - 1992
Persistent link: https://www.econbiz.de/10000137313
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A nonlinear unit root test in the presence of an unknown break
Popp, Stephan (contributor) - 2008
The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...
Persistent link: https://www.econbiz.de/10003725797