Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 106 for “"Unit Root"”.
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A STUDY OF UNIT ROOT TESTING
Unit root testing is important in time series applications, in particular in economic and financial time series. However, testing for the presence of a unit root is neither easy nor straightforward. The existence of a number of unit root tests in the literature and the sensitivity of these tests to …
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Essays on unit root testing in time series
<p>"Unit root tests are frequently employed by applied time series analysts to determine if the underlying model that generates an empirical process has a component that can be well-described by a random walk. More specifically, when the time series can be modeled using an autoregressive moving …
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New panel unit root and cointegration tests of purchasing power parity
… with highly persistent stochastic processes (for unit root tests of the real exchange rate). One solution followed in the literature to overcome the low power problem was pooling data on two dimensions (i.e. time and cross section dimensions) instead of only one dimension (i.e. time series …
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Sieve bootstrap based prediction intervals and unit root tests for time series
… as well as constructing a test for seasonal unit roots, is considered. The advantage of this resampling method is that it does not require knowledge about the underlying process generating a given time series and has been shown to work well for ARMA processes. We extend the application of the …
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Three Essays on the Economics of Immigration to the United States
… effect"" is connected to the hypothesis of unit root. Given the series idiosyncrasies, the performances of the Hasan-Koenker robust unit root test and least square based tests are compared. The tests exhibit some contradictory results. The residuals of the augmented Dickey-Fuller models are …
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Non-Stationarity, Forecast Performance and Fluctuations in Macroeconomic Series: Experience With United States Seasonal Data and Simulations
… of the fitted models and to the outcomes of the unit root tests. If non-stationarity is present in the series then this framework also enables us to assess the value of the test in the conduct of a forecasting exercise. It is generally agreed that most economic time series contains substantial MA …
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Three essays on bias, bias reduction and estimation in autoregressive time series models
… for series with moderate deviations from a unit root and for a fixed autoregressive coefficient. The result is used to derive the asymptotic distribution of the indirect inference method for (moderately) stationary, (moderately) explosive and explosive series with a fixed coefficient. The …
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Current account deficits and sustainability: evidence from South Africa
… account to GDP ratio is assessed through linear unit toot tests; ADF, PP, KPSS, DFGLS, ZA unit root tests, and nonlinear KSS (ESTAR) and Sollis (AESTAR) unit root tests. The cointegration approach relies on the linear Engle-Granger, Johansen, Maki, ARDL tests, and nonlinear ARDL (NARDL) tests, on …
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Structural change and unit roots
… three problems related to structural changes and unit-roots in time-series analysis. First, it is shown under which conditions it is possible to consistently estimate the break date in a model with one structural break. It is also shown that when the errors have a unit-root, it is possible to …
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Three Essays on Trade Policy and Impacts of Regional Demographic Changes
… I apply a modified GDP function approach. The unit root test results using the Augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) test show that, for most of the commodities, the unit root cannot be rejected at the significance levels. However, results from the Johansen procedure for …
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Modeling the United States Unemployment Rate with the Preisach Model of Hysteresis
… techniques for analyzing time series data, i.e. unit root testing for stationarity. However, we point out problems in modeling hysteresis with these techniques and argue that unit root tests cannot capture the selective memory of a system with hysteresis. For that, hysteresis in economic time …
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Essays on time series and panel data econometrics
… the covariates augmented Dickey-Fuller (CADF) unit root test suggested by Hansen (1995). It is known that the CADF test is very powerful. However, its limit distribution depends on the nuisance parameter, and thus inference is not possible. To solve this problem, we propose to use the bootstrap …
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Robust Testing for Unit Roots Based on Regression Rank Scores
… a robust statistical procedure for testing unit root models, based on regression-rank scores (RRS) introduced by Gutenbrunner and Jureckova (1990). These RRS arise as a vector of solutions of the dual form of the linear program required to compute the regression quantile statistics of …
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An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent
… data series set and with the aid of a breakpoint unit root test and Cusum of Squared test to determine if there was a change in the persistence of the spread of each African benchmark relative to the global benchmarks. The results for from the unit root test indicated the presence of a structural …
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Non-stationarity, forecast performance and fluctuations in macroeconomic series: Experience with United States seasonal data and simulations
… It is thus important to apply the seasonal unit root tests to investigate the question of seasonal non-stationarity in the data generating process (DGP) and examine the properties of such series. This dissertation undertakes such an exercise using seasonally unadjusted US data.
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Experience in the application of unit roots and fractional difference models and tests
… macroeconomic variables could be generated by a unit autoregressive root process. This determination as to whether or not a series should be differenced is known as the unit root test. In other words, if a time series in non-stationary, then in the presence of a unit autoregressive root, it can …
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Inflation and Macroeconomic Effects of Inflation Targeting in Asia: Time-Series and Cross-Country Analysis
… employed include panel GARCH, quantile unit root and Markov regime-switching testing. Panel GARCH results indicate that inflation targeting is more credible in lowering the inflation level rather than its volatility. The quantile unit root testing results indicate that the credibility of …
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Testing for Structural Change: Evaluation of the Current Methodologies, a Misspecification Testing Perspective and Applications
The unit root revolution in time series modeling has created substantial interest in non- stationarity and its implications for empirical modeling. Beyond the original interest in trend vs. di¤erence non-stationarity, there has been renewed interest in testing and modeling structural breaks. The …
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Investigating the determinants of sovereign bond yield spread in Namibia
… 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 for the goodness of fit of …
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