Narrow search
Showing 1 - 10 of 3,709
Cover Image
Testing for unit roots with cointegrated data
Reed, W. Robert - 2015
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011309691
Cover Image
Univariate unit root tests perform poorly when data are cointegrated
Reed, W. Robert - 2016 - Revised edition
Persistent link: https://www.econbiz.de/10011514491
Cover Image
Testing for unit roots with cointergated data
Reed, W. Robert - 2015
Persistent link: https://www.econbiz.de/10011296226
Cover Image
Unit root tests, size distortions, and cointegrated data
Reed, W. Robert - 2014
Persistent link: https://www.econbiz.de/10011296518
Cover Image
Fractional integration and its influence on unit root and co-integration analysis
Marques, Guilherme de Oliveira Lima C. - In: Economia aplicada : EA 20 (2016) 3, pp. 333-350
Persistent link: https://www.econbiz.de/10011807231
Cover Image
Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten - 2018
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of … breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test … Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a …
Persistent link: https://www.econbiz.de/10011842010
Cover Image
The overall seasonal integration tests under non-stationary alternatives : a methodological note
El Montasser, Ghassen - 2011
Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation...
Persistent link: https://www.econbiz.de/10011524855
Cover Image
Causality nexus between trade, political instability, FDI and economic growth : Nigeria experience
Bakar, Nor'Aznin Abu; Afolabi, Luqman - In: International journal of trade and global markets 10 (2017) 1, pp. 75-82
Persistent link: https://www.econbiz.de/10011722925
Cover Image
On the finite sample size and power of the generallized KPSS test in the presence of level breaks
Sephton, Peter S. - In: Applied economics letters 15 (2008) 10/12, pp. 833-843
Persistent link: https://www.econbiz.de/10003785755
Cover Image
Critical values of the augmented fractional Dickey-Fuller test
Sephton, Peter S. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 437-450
Persistent link: https://www.econbiz.de/10003776707