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Wavelet Power : Wavelet Energy Ratio Unit Root Tests
Trokic, Mirza - 2014
This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of...
Persistent link: https://www.econbiz.de/10013065650
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Regulated Fractional Variance Ratio Unit Root Tests
Trokic, Mirza - 2014
This article addresses unit root testing on regulated series through the variance ratio (VR) statistic of Nielsen (2009). The asymptotic distribution of the regulated VR statistic is developed with and without OLS detrending. Results of Cavaliere and Xu (2011) are extended by also developing the...
Persistent link: https://www.econbiz.de/10013066223
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Robust critical values for unit root tests for series with conditional heteroscedasticity errors : an application of the simple NoVaS transformation
Mantalos, Panagiotis - In: Cogent economics & finance 5 (2017) 1, pp. 1-12
heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte … Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical … values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …
Persistent link: https://www.econbiz.de/10011877334
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Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126
Persistent link: https://www.econbiz.de/10010224748
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Robust measures of skewness and kurtosis for macroeconomic and financial time series
Bastianin, Andrea - In: Applied economics 52 (2020) 7, pp. 637-670
Persistent link: https://www.econbiz.de/10012197454
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Asymptotic variance of Brier (skill) score in the presence of serial correlation
Lahiri, Kajal; Yang, Liu - 2015
We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that...
Persistent link: https://www.econbiz.de/10010503468
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Testing for a Unit Root in Noncausal Autoregressive Models
Saikkonen, Pentti - 2013
This work develops likelihood-based unit root tests in the noncausal autoregressive (NCAR) model formulated by Lanne and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to appear in the causal autoregressive polynomial and for reasons...
Persistent link: https://www.econbiz.de/10013072628
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Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation
Lahiri, Kajal - 2015
We derive autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from macroeconomics underscore the importance of taking care of...
Persistent link: https://www.econbiz.de/10013024358
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Is the Export-Led-Growth Hypothesis, Valid for Egypt? A Time Series Approach
Khashaba, Nagwa A.; Mahboub, Abd ElHamid; Latham, William R. - 2016
This research addresses important empirical questions regarding the relationship between Egyptian exports and Egyptian economic growth by extending the Dirtsakis’s model (Dritsakis, 2004, p. 1834) with the addition of the labor force into the model. The hypothesis to be tested is, does export...
Persistent link: https://www.econbiz.de/10014173100
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Energy Consumption and GDP Causality : New Evidence from Disaggregated Data and Panel Long-Run Causality Tests of Developed and Developing Countries
Liddle, Brant; Lung, Sidney - 2015
This paper disaggregates energy consumption and GDP data according to end-use to analyze a broad number of developed and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a relatively under-utilized approach recommend by Canning and...
Persistent link: https://www.econbiz.de/10014159365