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Bartlett Correction of the Unit Root test in Autoregressive Models.
Nielsen, B. - Economics Group, Nuffield College, University of Oxford - 1995
Persistent link: https://www.econbiz.de/10005687556
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Long-Run PPP May Not Hold After All.
Engel, C. - Department of Economics, University of Washington - 1996
Recent tests using long data series find evidence in favor of long-run PPP (by rejecting either the null hypothesis of …
Persistent link: https://www.econbiz.de/10005618511
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Long-Run PPP May Not Hold After All.
Engel, C. - Department of Economics, University of Washington - 1996
Recent tests using long data series find evidence in favor of long-run PPP (by rejecting either the null hypothesis of …
Persistent link: https://www.econbiz.de/10005432387
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Testing for seasonal unit roots: simple tests and HEGY tests
Skrobotov, Anton; Turuntseva, Marina - In: Published Papers (2014) March
This paper covers seasonal unit roots tests developed in the last 25 years. The main attention is given to HEGY test … and its different modifications. Also we study some simple tests for seasonal unit roots, in particular, Dickey …
Persistent link: https://www.econbiz.de/10011265373
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Modeling Seasonality: Seasonal Integration, Deterministic Seasonality and Seasonal Structural Breaks
Skrobotov, Anton; Turuntseva, Marina - In: Published Papers (2014) March
breaks in the time series. Note that among the tests for seasonal unit roots, we consider the LM-tests, likelihood ratio … tests and the variance ratio tests, as well as principles of costruction of effective tests, and do not consider the … simplest methods for seasonal unit roots testing and class of HEGY of tests. In this paper we present the results of seasonal …
Persistent link: https://www.econbiz.de/10011265376
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Exact Tests in Single Equation Autoregressive Distributed Lag Models.
Dufour, J.M.; Kiviet, J.F. - Centre Interuniversitaire de Recherche en Économie … - 1995
Persistent link: https://www.econbiz.de/10005353023
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On Periodic Structures and Testing for Seasonal Unit Roots.
Ghysels, E.; Hall, A.; Lee, H.S. - Centre Interuniversitaire de Recherche en Économie … - 1995
Persistent link: https://www.econbiz.de/10005353072
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Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment.
Taylor, A.M.R. - Department of Economics, University of Birmingham - 1999
This paper is concerned with tests for seasonal unit roots in a univariate time series process. We construct test …
Persistent link: https://www.econbiz.de/10005357601
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Unit Root Tests in the presence of Uncertainty about the Non-Stochastic Trends.
Ayat, L.; Burridge, P. - Department of Economics, University of Birmingham - 1996
investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott …
Persistent link: https://www.econbiz.de/10005146595
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Relative Power of t Type Tests of Stationary and Unit Root Processes.
Gonzalo, J.; Lee, T.H. - Department of Economics, Boston University - 1995
Persistent link: https://www.econbiz.de/10005780031