Search Results - subject:"STATIONARITY"

Argentinean real exchange rate 1900-2006, test purchasing power parity theory

Bianco, Marcos José Dal - In: Estudios de Economia 35, 1 Year 2008, pp. 33-64

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...

Persistent link: https://www.econbiz.de/10005687613

Regime-Dependent output convergence in Latin America

Holmes, Mark J. - In: Estudios de Economia 33, 1 Year 2006, pp. 65-81

period 1900-2003. The key contribution of this paper is in term of the econometric methodology where non-stationarity of log …

Persistent link: https://www.econbiz.de/10005687702

Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*

Harvey, David I.; Leybourne, Stephen J.; Taylor, A.M. Robert - School of Economics, University of Nottingham

practical usefulness of our proposed tests. Keywords: Broken trend; power envelope; unit root; stationarity tests. JEL Classi …-modelled trend breaks also cause spurious rejections in stationarity tests, such as that of Kwiatkowski et al. (1990)[KPSS, hereafter … tests on the parameters of the trend function and unit root/stationarity tests, as might also be expected in the light of …

Persistent link: https://www.econbiz.de/10005607559

Credit Market Disequilibrium in Poland : Can We Find What We Expect ? Non-Stationarity and the"Min" Condition.

Hurlin, Christophe; Kierzenkowski, Rafal - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10008529698

TESTING FOR LONG-RUN PURCHASING POWER PARITY IN THE POST BRETTON WOODS ERA: EVIDENCE FROM OLD AND NEW TESTS

Hernández, Julián Ramajo; Carracedo, Montserrat Ferré - Instituto de Estudios Fiscales, Ministerio de Economía …

the stationarity properties of the real exchange rates which are required for PPP to hold, and it also analyses the …

Persistent link: https://www.econbiz.de/10005190367

On the Stationarity of Exhaustible Natural Resource Prices

Kourogenis, Nikolaos; Koundouri, Phoebe - Department of International and European Economic …

stationarity of real commodity prices should be properly defined and tested within a multivariate error correction model, which … explicitly accounts for all possible linear interdependencies among the series involved. In such a framework, the stationarity of …

Persistent link: https://www.econbiz.de/10010625835

Left-Censoring in Duration Data: Theory and Applications

D'Addio, Anna Christina; Rosholm, Michael - School of Economics and Management, University of Aarhus

expressions. In order to use the information efficiently, we often resort to the stationarity assumption. Hence, we provide a …

Persistent link: https://www.econbiz.de/10005114048

Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle

Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1993

In this paper we argue that modelling the trend component in real GNP as a random walk is inconsistent with its interpretation as productivity growth. As an alternative we specify the trend as an Auto Regressive Integrated Moving Average (ARIMA) process, whose impulse response function follows...

Persistent link: https://www.econbiz.de/10005136495

A lower bound for expectation of a convex functional

Guo, Mei-Hui; Wei, Ching-Zong - In: Statistics & Probability Letters 18 (1993) 3, pp. 191-194

Let [phi] be a symmetric convex function from n to . Under certain conditional symmetric conditions on the random variables X1,...,Xn, the inequality:E[[phi](X1,...,Xn)] [greater-or-equal, slanted] E[maxi [less-than-or-equals, slant] i [less-than-or-equals, slant] n[phi](0,...,0, Xi, 0,...,0)]...

Persistent link: https://www.econbiz.de/10005319388

Une stratégie de test de la racine unitaire.

Ertur, Cem - Laboratoire d'Économie de Dijon (LEDI), Université de … - 1991

Persistent link: https://www.econbiz.de/10005579177