Search Results - subject:"Additive-Outlier Model"

Macroeconomic Variables and Stock Market Performance: Testing for Dynamic Linkages with a Known Structural Break

Rashid, Abdul - Volkswirtschaftliche Fakultät, … - 2008

This paper investigates the dynamic interactions between four macroeconomic variables and stock prices in Pakistan, using cointegration and Granger causality tests that are robust to structural breaks. The results strongly suggest cointegration between the stock prices and macroeconomic...

Persistent link: https://www.econbiz.de/10008740570

Testing for Structural Breaks in Australia's Monetary Aggregates and Interest Rates: An Application of the Innovational Outlier and Additive Outlier Models

Pahlavani, Mosayeb; Valadkhani, Abbas; Worthington, Andrew - School of Accounting, Economics, and Finance, … - 2005

model (IO) and the Additive Outlier model (AO) are then used to test for nonstationarity. After accounting for the single …

Persistent link: https://www.econbiz.de/10005515397