Search Results - subject:"Unit Root Hypothesis"

Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification : comment

Siliverstovs, Boriss - 2003

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is...

Persistent link: https://www.econbiz.de/10011439441

Autoregressive conditional root model

Shephard, Neil; Rahbek, Anders - Department of Economics, Oxford University - 2002

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10010604833

Autoregressive conditional root model

Rahbek, Anders; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001

Persistent link: https://www.econbiz.de/10005730387

Unit roots, postwar slowdowns and long-run growth: Evidence from two structural breaks

Ben-David, Dan; Lumsdaine, Robin L.; Papell, David H. - In: Empirical Economics 28 (2003) 2, pp. 303-319

This paper provides evidence on the unit root hypothesis and long-term growth by allowing for two structural breaks. We … reject the unit root hypothesis for three-quarters of the countries – approximately 50% more rejections than in models that …

Persistent link: https://www.econbiz.de/10005612956

Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Zivot, Eric; Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1990

Recently Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend … there is less evidence against the unit root hypothesis than Perron finds for many of the data series, but stronger evidence …

Persistent link: https://www.econbiz.de/10005634743

The Unit Root Hypothesis in Long-term Output: Evidence from Two Structural Breaks for 16 Countries

Ben-David, Dan; Lumsdaine, Robin L; Papell, David - C.E.P.R. Discussion Papers - 1996

paper reconsiders international evidence on the unit root hypothesis while allowing for two structural breaks. We find … evidence of two breaks in three-quarters of the data, rejecting the unit root hypothesis in 50% more cases than models that …

Persistent link: https://www.econbiz.de/10005792160

The Great Wars, the Great Crash, and the Unit Root Hypothesis: Some New Evidence About An Old Stylized Fact

Ben-David, Dan; Papell, David - C.E.P.R. Discussion Papers - 1994

investigate the unit root hypothesis for 16 countries, using annual GDP data spanning up to 130 years. Rejection of the unit root …

Persistent link: https://www.econbiz.de/10005114489