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Showing 1 to 8 of 8 for “"Dickey-Fuller test"”.
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Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
… would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to …
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A Critical Assessment of the Sustainability of South Africa's Fiscal Policy and Related Institutional Frameworks
… African context. This study ultimately aimed to test the sustainability of South Africa’s fiscal policy and public debt, with fiscal policy defined as the satisfaction of the intertemporal budget constraint. The Augmented Dickey–Fuller test was used to assess the stationarity of national …
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The relationship between financial inclusion, economic growth and poverty: A study of Jordan
… from the CBJ, World Bank, and IMF. The Augmented Dickey Fuller test is used to test the stationarity of variables used in the ARDL model. The study shows that financial inclusion has a significant positive effect on economic growth. Moreover, the study also indicates that financial inclusion has a …
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Foreign aid for economic growth: a case study of Uganda
… Autoregressive Distributed Lag was employed to test for the existence of the long-run Augmented Dickey-Fuller test for stationarity and the Ordinary Least Square regression analysis was used to test for the relationship between the variables. The results show that foreign aid has a significant …
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Investigating the stability of private comsumption in Namibia
… 1980 to 2006. The study applies the Augmented Dickey-Fuller test to test for stationarity of variables in the model and to determine the long run and short run models, using the Engle-Granger process of cointegration. The results show that there is cointegration between private consumption and …
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Investigating the determinants of sovereign bond yield spread in Namibia
… obtained from the Namibia Statistics Agency. The tests employed included the unit root tests and the Autoregressive Distributed lag (ARDL) bound test. The study further performed diagnostic tests such asnormality test, serial correlation, heteroscedasticity, Ramsey test, CUSUM and CUSUMSQ to test …
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The impact of foreign direct investment on economic growth in South Africa
… results on time series data, the researcher tested for stationarity of the data by using Augmented Dickey-Fuller test and Phillips-Perron unit root tests. The unit root analysis was conducted on the variables and the results show that GDP and FDI do not exhibit any trends suggesting that they …
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Μελέτες στην εφαρμοσμένη μακροοικονομετρία : Αιτιότητα κατά Granger σε πολλαπλούς ορίζοντες και μη-γραμμικές τάσεις σε μακροοικονομικές χρονολογικές σειρές
Η παρούσα διατριβή ασχολείται με δύο ιδιαιτέρως σημαντικά και διαχρονικά επίκαιρα ζητήματα στην ανάλυση χρονολογικών σειρών, τα οποία εντάσσονται, υπό ευρεία έννοια, στο πεδίο της Μακροοικονομετρίας. Ειδικότερα, μελετώνται θέματα και μεθοδολογίες ή τεχνικές ιδιαίτερα χρήσιμες για εκείνους τους …