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Showing 1 to 20 of 36 for “"Unit root tests"”.
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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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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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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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New panel unit root and cointegration tests of purchasing power parity
… PPP in the 1980s and 1990s relied on univariate tests such as Dickey Fuller and Augmented Dickey Fuller and cointegration tests. The empirical evidence from these methodologies seemed to produce very little empirical evidence favouring PPP. However, these methodologies have been shown to have low …
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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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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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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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An econometric analysis of global agricultural commodity prices
… addressed are the following. First, recursive unit root tests are employed to examine whether global commodity prices experienced explosive sub-periods which cannot be explained by underlying economic fundamental movements. Second, a Bayesian Structural VAR is used to model global wheat prices …
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Robust Inference in Multiple Nonstationary Time Series
In addition, a multivariate generalization of the unit root tests proposed in Zivot and Andrews (1992) is investigated. The null hypothesis entails the existence of a number of cointegrating vectors band no breaks in the constant term of the vector autoregression. Under the alternative, there are …
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Non-linear aspects of financial integration: An analysis of the real interest rate parity for Southeast Asian economies
… analysis, which contrasts results from unit root tests, with and without structural breaks, with results from Bai and Perron (1998) technique. Changes in the level of financial integration are evaluated through a modified Band-Threshold Autoregressive model. In this framework, …
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Determinants of Economic Growth-The Case of Zimbabwe
… and government expenditure. The study employed Unit Root Tests. The Auto Regressive Distributed Lag model was used to examine the mixed variable while the Ordinary Least Squares model and the Johansen test were used to examine all stationary and non-stationary variables respectively. In the case …
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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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Análise Econométrica das Exportações de Produtos Siderúrgicos
… variable, the Gross Domestic Product of the United States is used. The analysis concentrates only on the long run behavior. First, unit root tests were used. Then, the cointegration technique was used to analyze the long term relationship among the variables. This long term relationship …
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Econometrics analysis of Weak form efficiency and Calendar effects in Dar es salaam Stock Exchange
… the study employed various statistical tests: serial correlation test-The Ljung-Box test, Unit root tests, parametric runs test and the variance ratio test. For investigating the calendar effects, the study used two econometric models: Ordinary Least Square (OLS) regression model and the …
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The causal relationship between exports and economic growth: time series analysis for UAE (1975-2012)
… of the Export-Led Growth hypothesis (ELG) in the United Arab Emirates (UAE), using annual time series data over the period 1975-2012. Therefore, the research identifies and evaluates the causal relationship between exports and economic growth, by shedding further light on the causal effects, …
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Essays in international finance
… of three separate essays. The first essay tests the validity of long-run Purchasing Power Parity (PPP) in two panels of real exchange rates for 13 OECD countries (1989:07-2012:11, 1989:07-2006:12). Three panel unit root tests are applied, one that assumes cross-sectional independence, one …
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Investigating the effectiveness of transmission mechanisms of monetary policy in Sierra Leone
… to 2012. The study employed techniques such as unit root tests, cointegration, Granger causality test, impulse responses and variance decomposition. The cointegration test result revealed that cointegration exists. The Granger causality test showed that gross capital formation Granger causes …
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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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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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