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Why frequency matters for unit root testing

Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.

volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …

Persistent link: https://www.econbiz.de/10011342578

Centurial Evidence of Breaks in the Persistence of Unemployment

Ghoshray, Atanu - 2016

A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a …

Persistent link: https://www.econbiz.de/10012979965

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation

Hanck, Christoph - 2013

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … from sometimes severe size distortions in the presence of nonstationary volatility, and that this defect can be remedied …

Persistent link: https://www.econbiz.de/10013077801

Real convergence using TAR panel unit root tests : an application to the Southern African Development Community

Tipoy, Christian K. - In: Spoudai : journal of economics and business 69 (2019) 1/2, pp. 45-61

The African Union advocates the creation of a monetary union in stages for the entire continent starting with each of the different sub-regions. Building from that, the Southern African Development Community has, among its goals, the creation of a monetary union for its member states. However,...

Persistent link: https://www.econbiz.de/10012063030

New Multi-Country Evidence on Purchasing Power Parity : Multivariate Unit Root Test Results

Groen, Jan J. - 2000

In this paper a likelihood-based multivariate unit root testing framework is utilized to test whether the real exchange rates of G10 countries are non-stationary. The framework uses a likelihood ratio statistic which combines the information across all involved countries while retaining...

Persistent link: https://www.econbiz.de/10014153725

Unit Roots : Identification and Testing in Micro Panels

Bond, Stephen R.; Nauges, Céline; Windmeijer, Frank - 2005

We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context....

Persistent link: https://www.econbiz.de/10014063807

Tests for Unit-Root Versus Threshold Specification with an Application to the Purchasing Power Parity Relationship

Bec, Frederique; Ben Salem, Melika; Carrasco, Marine - 2004

We consider modeling the real exchange rate by a stationary three-regime self-exciting threshold autoregressive (SETAR) model with possibly a unit root in the middle regime. This representation is consistent with purchasing power parity in the presence of trading costs. Our main contribution is...

Persistent link: https://www.econbiz.de/10014071350

Purchasing Power Parity : Evidence from a New Testing Procedure in the Nonlinear Modified ESTAR Framework

Dieu-Hang, To; Kompas, Tom - 2018

The presence of transaction costs in trading implies a non-linear adjustment process of real exchange rates towards Purchasing Power Parity (PPP). This may make the traditional tests for PPP using a linear framework, which generally tend to refute the PPP hypothesis, unreliable. This study...

Persistent link: https://www.econbiz.de/10014190608

Purchasing Power Parity : A Nonlinear Multivariate Approach

Bec, Frederique; Ben Salem, Melika; Rahbek, Anders - 2009

The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a threshold vector equilibrium correction model, whose dynamics is consistent...

Persistent link: https://www.econbiz.de/10014209711

Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland : eine Anmerkung

Meier, Carsten-Patrick - 2000

Persistent link: https://www.econbiz.de/10013261092