Este documento presenta evidencia contundente en contra de la hipótesis nula de que series tales como el IMACEC, el consumo o el PIB chilenos presentan una raíz unitaria. Esta evidencia se apoya en resultados derivados en Chumacero (2000) que muestran que en caso que alguna de estas variables...

This article is a supplement to Kónya (2004) which investigates the possibility of the export-led growth and growth-driven export hypotheses by testing for Granger causality between the logarithms of real exports and real GDP in twenty-five OECD countries. In Kónya (2004) two complementary...

In this paper we introduce a strategy for testing the unit root hypothesis in a first-order autoregressive process with an unknown intercept where the initial value of the variable is a known constant. In the context of this model the standard Dickey-Fuller test is nonsimilar, the intercept...

We consider LM-type tests for a unit root allowing for a break in trend at an unknown date. In addition to the minimum LM test statistic, we propose new LM-type tests based on the least squares estimator of the break date under the null. We examine asymptotic behavior under the null hypothesis...

In this paper two techniques, long memory and panel data models, are combined in order to increase the power of unit root tests. The power is shown to be always better against fractional alternatives and usually against autoregressive alternatives. The test is then used to reanalyze data sets...

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

This thesis consists of four papers concerning modelling of count data and tourism demand. For three of the papers the focus is on the integer-valued autoregressive moving average model class (INARMA), and especially on the INAR(1) model. The fourth paper studies the interaction between...

In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit...

The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null...

The United States (U.S.) Consumer Confidence Index (CCI) has been widely and unambiguously regarded as a good ‘predictor’ of the U.S.’s private investment and consumption. In order to demonstrate such with statistical rigor, co-integration and Granger causality tests were applied for...