Showing 91 - 100 of 106
This paper examines the asymptotic and finite sample behaviour of the ADF and Phillips-Perron statistics under the presence of a break in the trend function. We prove that the break magnitude affects these two statistics in a similar way, drawing them closer the acceptance zone, the higher the...
Persistent link: https://www.econbiz.de/10005314075
This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal...
Persistent link: https://www.econbiz.de/10005119200
This paper shows that the acceptance of the Zipf's Law may sometimes be the result of a spurious artifact. By way of some Monte Carlo exercises we provide evidence in favour of the fact that the Zipf's law can be spuriously accepted when the variable being studied is generated by a random...
Persistent link: https://www.econbiz.de/10005225014
This paper considers the behaviour of the Dickey-Fuller tests when the variable being studied is generated according to Perron's (1989) crash hypothesis. We show that these statistics tend towards the Dickey-Fuller distributions under the null hypothesis and diverge towards -[infinity] under the...
Persistent link: https://www.econbiz.de/10005319955
The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests...
Persistent link: https://www.econbiz.de/10005114039
Persistent link: https://www.econbiz.de/10009807578
Persistent link: https://www.econbiz.de/10007665542
Persistent link: https://www.econbiz.de/10007674359
Persistent link: https://www.econbiz.de/10007970044
Persistent link: https://www.econbiz.de/10006993039