A specific form of deterministic exponential heteroskedasticity is examined. A non-trivial unit root process which has exponentially heteroskedastic innovation and as a consequence, a variance that vanishes asymptotically is detailed. Such a unit root stochastic process, with exponential...

There are a number of studies which consider the relation between military spending and economic growth using Granger causality techniques rather than a well-defined economic model. Some have used samples of groups of countries, finding no consistent results. Others have focused on case studies...

This paper examines whether the usually tested unit autoregressive (AR) root null hypothesis can be informative about the presence of a unit AR root (integration). This is considered null in generic models when the underlying time series is mean or linear trend stationary. It is concluded that...

This letter examines the first difference of the logarithm of real per capita GNP of the USA (approximately growth rate) to see whether it possesses a moving average unit root (overdifferencing). The presence of such a moving average unit root implies that the logarithm of real per capita GNP of...

A number of studies consider the relation between military spending and economic growth using Granger causality techniques. Some studies have used samples of groups of countries, finding no consistent results. Other studies have focused on individual countries, which permits greater knowledge of...

A recent paper by Barkoulas et al. (Applied Financial Economics, 10, 177-84, 2000), examining long memory of returns in the Athens Stock Exchange (ASE, hereafter), finds evidence in favour of long memory. In this paper, long memory of returns in the ASE along with volatility are examined, using...

This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to...

A modification of the existing point optimal unit root test is proposed. The new test has very good finite sample power and is easily correctable via semi-parametric methods. Critical values are provided along with power simulation and empirical examples.

In the context of a model with linear trend plus AR(1) error, this paper studies power of various unit root tests, under proper stationarity alternatives. A large number of invariant tests is examined to compare their power properties.

Via simulation, the size of the lagrange multiplier (LM) unit root test is examined, when there is a neglected level or trend break under the null hypothesis. It is found that unlike other more popular unit root tests in the literature, the size of the LM is not distorted/inflated. Thus,...