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 21 for “"Unit Roots"”.
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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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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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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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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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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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Pricing-to-market for UK export sector
… this study econometrically tests for seasonal unit roots in the export prices prior to estimating PTM behaviour. Prior studies have seasonally adjusted the data automatically. This study’s results show that monthly export prices contain very little seasonal unit roots implying that there is a …
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An empirical examination of Bloomberg's macroeconomic forecasts of the G-7 nations
… announced figures from U.S.A., Japan, Canada, United Kingdom, Germany, France and Italy. The results provide an indirect test of the Rational expectation hypothesis. The forecasts and announced figures are first analyzed to discern unit roots and cointegration before inferences are made from …
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An econometric model of the one million barrel tanker market
… because the previous models did not test for unit roots in variables and the long run equilibrium of the series, the thesis has tested for these. The time series data are in most case non-stationary and should be made stationary before estimation. The model of tanker supply was presented to …
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An examination of the effects of government spending on interest rates and trade balance in Namibia
… tested for stationarity using ADF, PP, and KPSS unit roots tests. The assessment found government spending and trade balance data with integrated of order zero I(0). However, interest rates data found with integrated of order one I(1). The ARDL cointegration technique confirmed a long-run …
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The Direction of Causality between Financial Development and Economic Growth in Tanzania, An Empirical Analysis
… Augmented Dickey and Fuller test (ADF) for unit roots, Johansen test for Co-intergration test, Vector Error Correction Model, Granger causality test under VAR framework used to establish direction of causality, and Variance decomposition (VD) applied for validating strengths of findings …
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Foreign direct investment and growth in Tanzania : roles of the domestic financial system and human capital
… follows three main steps. After testing for unit roots, an Ordinary Least Square (OLS) model is estimated in order to test for the existence of long-run relationships between the variables by conducting F-test for joint significance of the coefficients of lagged levels of variables.
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Essays in Economic *Growth and Asset Pricing
… result is contrary to the literature that uses unit roots and cointegration tests to analyze income convergence. In chapter 3, we propose a novel approach to estimate and make inference from growth equations. We use quantile regression to assess income convergence and the effects of policy …
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Estimation and inference with nonstationary panel data
… PhD thesis applies the time-series concepts of unit-roots and cointegration to nonstationary panel data. The first three chapters set the scene for what follows and together are the first methodological core of the thesis, on nonstationary panel data estimation and testing.In chapter 1 we …
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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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Tests of purchasing power parity
This paper examines the long-run relationship between exchange rates and prices in ten countries in Southwest Asia, Africa, and the Pacific Rim for the post-Bretton Woods period. It uses cointegration tests to investigate the thesis that relative purchasing power parity exists as a long-run …
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Issues in technical efficiency measurement with an application to the domestic airline industry
… Of those technical efficiency series exhibiting unit roots, a majority of firm pairs do not reject the null hypothesis of long run comovement (i.e. cointegration). Furthermore, tests of convergence support the hypothesis that firm performance is becoming less disperse over time--firms are …
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Dynamic econometric modeling of the U.S. wheat grain market
… wheat market (1975:03-1999:04) have seasonal unit roots, therefore, a VECM or DSEM should be specified. Second, in a forecasting context, seasonally cointegrated VECMs perform uniformly better that their nonseasonal counterpart. DSEM with seasonal cointegration, however, perform better than …
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The Impact of Development Finance Institutions on Economic Growth: A case of South Africa
… tests and Philip Perron tests to test for unit roots on the data. The data was obtained from SADC statistics, World Bank, South African Reserve Bank, Open Source Capital and OECD library. The results of the study found evidence to support a deterministic relationship between the DFIs …
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Openness and economic growth
… specially for panel data are applied to test for unit roots and causality. The results indicate a virtuous procedure of development for China. The growth of China’s imports causes growth in inward FDI from a home country/region, which in turn causes the growth of exports from China to the home …
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