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Estimation of possibly non-stationary first-order auto-regressive processes
Martins, Ana Paula - 2016
This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....
Persistent link: https://www.econbiz.de/10011853377
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Estimation of possibly non-stationary first-order auto-regressive processes
Martins, Ana Paula - 2016
This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....
Persistent link: https://www.econbiz.de/10011784570
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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
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Los contrastes de raíz unitaria con cambio estructural: una panorámica
Vega, Maria del Mar Sanchez de la; Beyaert, Arielle - In: Estudios de Economía Aplicada 2 (1994) Diciembre, pp. 107-143
tipo de técnicas. Estos contrastes contribuyen a paliar el problema de baja potencia que presentan los tests tradicionales … of this paper is to offer a survey of the tests specifically designed to contrast the existence of a unit root in series … determine the order of integration of a series. These tests contribute to solve the problem of low power of the traditional unit …
Persistent link: https://www.econbiz.de/10005690368
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Agreement and Disagreement Between Unit Root Tests.
Boero, K.L.A.G.; Burridge, P.; Sheldon, M. - Department of Economics, University of Birmingham - 1995
Persistent link: https://www.econbiz.de/10005738239
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Tests of the Seasonal Unit Root Hypothesis Against Heteroscedastic Seasonal Integration.
Taylor, A.M.R.; Smith, R.J. - Department of Economics, University of Birmingham - 1999
This paper considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time-series process against the alternative of a randomized seasonel root with mean unity; that is, the process displays heteroscedastic seasonal integration.
Persistent link: https://www.econbiz.de/10005738244
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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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Multivariate Tests of Fractionally Integrated Hypotheses.
Gil-Alana, L. - Department of Economics, European University Institute - 1998
Multivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural … generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses. …
Persistent link: https://www.econbiz.de/10005557694