Similar Search Results

Bias correction of KPSS test with structural break for reducing of size distortion

Skrobotov, Anton - In: Journal of time series econometrics 6 (2014) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10010225253

Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null

Sollis, Robert - In: Journal of time series econometrics 8 (2016) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011440443

The US real GNP is trend-stationary after all

Omay, Tolga; Gupta, Rangan; Bonaccolto, Giovanni - In: Applied economics letters 24 (2017) 7/9, pp. 510-514

Persistent link: https://www.econbiz.de/10011712414

Finite sample critical values for flexible fourier form lagrange-multiplier and dickey-fuller unit root tests

King, Alan - 2022

Persistent link: https://www.econbiz.de/10013279220

On trend breaks and initial condition in unit root testing

Skrobotov, Anton - In: Journal of time series econometrics 10 (2018) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011817686

Testing for unit roots in the presence of a possible break in trend and nonstationary volatility

Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991

Persistent link: https://www.econbiz.de/10009379762

Economic infrastructure, private capital formation, and FDI inflows to Hungary : a unit root and cointegration analysis with structural breaks

Ramírez, Miguel D.; Kőműves, Zsófia - In: Atlantic economic journal : AEJ 42 (2014) 4, pp. 367-382

Persistent link: https://www.econbiz.de/10010517388

Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 177 (2013) 2, pp. 265-284

Persistent link: https://www.econbiz.de/10010255186

A GARCH model for testing market efficiency

Narayan, Paresh Kumar; Liu, Ruipeng; Westerlund, Joakim - In: Journal of international financial markets, … 41 (2016), pp. 121-138

Persistent link: https://www.econbiz.de/10011475947

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011476095

1
2
3
4
5
6
7
8
9
10
Next
Last