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In econometrical literature, various incomplete-data models have been developed to reflect economic phenomena. For incomplete-data models, it is not easy to construct test statistics because the observed log-likelihood function often involves intractable integrals which make it very difficult to...
Persistent link: https://www.econbiz.de/10014214500
This paper examines the major determinants of GDP growth in Iran using annual time series data spanning from 1960 to 2003. The Iranian economy has been subject to a multitude of structural changes and regime shifts during the sample period. Thus, time series properties of the data are first...
Persistent link: https://www.econbiz.de/10014215537
The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang (1999) suggested an iterative procedure for the detection of multiple additive...
Persistent link: https://www.econbiz.de/10014217285
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent...
Persistent link: https://www.econbiz.de/10014218155
This paper proposes a version of the DF-GLS test that incorporates up to two breaks in the intercept, namely the DF-GLSTB test. While the asymptotic properties of the DF-GLS test remain valid, the presence of changes in the intercept has an impact on the small sample properties of the test....
Persistent link: https://www.econbiz.de/10014219362
Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni...
Persistent link: https://www.econbiz.de/10014221890
Standard estimation of ARMA models in which the AR and MA roots nearly cancel, so that individual coefficients are only weakly identified, often produces inferential ranges for individual coefficients that give a spurious appearance of accuracy. We remedy this problem with a model that uses a...
Persistent link: https://www.econbiz.de/10014156244
This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined
Persistent link: https://www.econbiz.de/10014166350
Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with non-standard limiting distributions that must be simulated on a case-by-case...
Persistent link: https://www.econbiz.de/10014123720
I propose a test of symmetry for a stationary time series based on the difference between the dispersion above the central tendency of the series with that below it. The test has many attractive features: it is applicable to dependent processes, it has a familiar form, it can be implemented...
Persistent link: https://www.econbiz.de/10014124601