Search Results - subject:"STATIONARITY"

Issues Concerning the Approximation Underlying the Spectral Representation Theorem

Lippi, Marco - Laboratory of Economics and Management (LEM), Scuola … - 2003

In many important textbooks the formal statement of the Spectral RepresentationTheorem is followed by a process version, usually informal, stating thatany stationary stochastic process g is the limit in quadratic mean of asequence of processes, each consisting of a finite sum of...

Persistent link: https://www.econbiz.de/10005650071

Asymptotic null distributions of stationarity and nonstationarity

Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003

The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests … purpose of the simulation experiment is to assess the size distortion of the unit root and stationarity tests under …

Persistent link: https://www.econbiz.de/10005641886

A Component-Driven Model for Regime Switching and Its Empirical Evidence

Kuan, Chung-Ming; Huang, Yu-Lieh; Tsay, Ruey S. - Institute of Economics, Academia Sinica - 2003

periods. As nonstationarity (stationarity) periods match the NBER dating of expansions (recessions) closely, our result …

Persistent link: https://www.econbiz.de/10008632904

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

Hurlin, Christophe; Kierzenkowski, Rafal - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10010708312

Correlograms for non-stationary autoregressions

Nielsen, Bent - Department of Economics, Oxford University - 2003

and non-stationarity appears when using autocorrelations rather than autocovariances which are commonly used in …

Persistent link: https://www.econbiz.de/10010604843

Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach

Milionis, Alexandros E. - Bank of Greece - 2003

Although non-stationarity in the level of a time series is always tested (and there is a variety of tests for this … purpose), non-stationarity in the variance is sometimes neglected in applied research. In this work, the consequences of … neglecting variance non-stationarity in economic time series, and the conceptual difference between variance non-stationarity and …

Persistent link: https://www.econbiz.de/10005321922

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Busetti, Fabio; Taylor, A. M. Robert - Banca d'Italia - 2003

This paper considers the problem of testing against stochastic trend and seasonality in the presence of structural breaks and unit roots at frequencies other than those directly under test, which we term unattended breaks and unattended unit roots respectively. We show that under unattended...

Persistent link: https://www.econbiz.de/10005113521

Multivariate Unit Root Tests and Testing for Convergence

Harvey, A.; Bates, D. - Faculty of Economics, University of Cambridge - 2003

We examine the properties of a multivariate Dickey-Fuller t-statistic designed to test for a unit root in a panel while taking account of cross-sectional dependence. The asymptotic distribution is presented and critical values provided. When intercepts are present, a modification along the lines...

Persistent link: https://www.econbiz.de/10005113862

Are shocks to national income persistent? New global evidence

Narayan, S; Narayan, P - 2011

Purpose - This paper aims to investigate the integrational properties of real GDP for 125 countries. Design/methodology/approach - The paper applies the Kwiatkowski et al. univariate test and a KPSS-type univariate test that accounts for multiple structural breaks -a test procedure proposed by...

Persistent link: https://www.econbiz.de/10009481695

Nonlinear trends in real exchange rates: A panel unit root test approach

Cushman, David O.; Michael, Nils - In: Journal of International Money and Finance 30 (2011) 8, pp. 1619-1637

We analyze the possibility of nonlinear trend stationarity as the alternative to unit roots in 23 OECD real exchange … reasonable. We argue that nonlinear trend stationarity is the most likely alternative hypothesis for at least some of the real …

Persistent link: https://www.econbiz.de/10010869443