Showing 41 - 50 of 9,696
We suggest a new unit-root test with a Fourier function in the deterministic term in a Dickey–Fuller type regression framework. Our suggested test can complement the Fourier LM and DF-GLS unit root tests. They have good size and power properties.
Persistent link: https://www.econbiz.de/10010580458
We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.
Persistent link: https://www.econbiz.de/10010580544
Most empirical evidence suggests that the efficient futures market hypothesis, henceforth referred to as EFMH, stating that spot and futures prices should cointegrate with a unit slope on futures prices, does not hold, a finding at odds with many theoretical models. This paper argues that these...
Persistent link: https://www.econbiz.de/10010836352
We propose a (trend) stationarity test with a good finite sample size even when a process is (trend) stationary with strong persistence; this is useful for distinguishing between a (trend) stationary process with strong persistence and a unit root process. It could be considered as a modified...
Persistent link: https://www.econbiz.de/10004992542
Perron (1989) introduced unit root tests valid when a break at a known date in the trend function of a time series is present, which are invariant to the magnitude of the shift in level and/or slope and to allow them under both the null and alternative hypotheses. The subsequent literature...
Persistent link: https://www.econbiz.de/10004994225
This paper proposes an alternative way of testing FOREX efficiency for developing countries. The FOREX market will be efficient if fully reflects all available information. If this holds, the actual exchange rate will not deviate significantly from its equilibrium rate. Moreover, the spot rate...
Persistent link: https://www.econbiz.de/10005040027
We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...
Persistent link: https://www.econbiz.de/10005100843
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005100952
This paper develops an asymptotic theory of inference for a two-regime threshold autoregressive (TAR) model with an autoregressive root which is local-to-unity. We find that the asymptotic null distribution of the Wald test for a threshold is non-standard and mildly dependent on the...
Persistent link: https://www.econbiz.de/10005102662
The economic literature examining changes in divorce rates is not conclusive since legal reforms have been found to have permanent, transitory or no effect on divorce rates. This paper studies differences in divorce rates among 16 European countries from 1930 to 2006, by exploiting time-series...
Persistent link: https://www.econbiz.de/10005070491