Search Results - subject:"Unit Root Hypothesis"

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of …

Persistent link: https://www.econbiz.de/10012431072

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of …

Persistent link: https://www.econbiz.de/10012216176

Nearly efficient likelihood ratio tests for seasonal unit roots

Jansson, Michael; Nielsen, Morten Ørregaard - 2009

In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that...

Persistent link: https://www.econbiz.de/10010290404

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Jansson, Michael; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2009

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root … hypothesis, i.e. tests whose asymptotic local power functions are virtually indistinguishable from the Gaussian power envelope …

Persistent link: https://www.econbiz.de/10004967621

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Jansson, Michael; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2009

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root … hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test … CREATES Research Paper 2009-37 Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis Michael …

Persistent link: https://www.econbiz.de/10005082522

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

Jansson, Michael; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2009

Persistent link: https://www.econbiz.de/10008550315

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

Jansson, Michael; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2009

Persistent link: https://www.econbiz.de/10008491712

Economic Development and Structural Breaks: An Application of the Lee and Strazicich(2003) Lagrange Multiplier Test to the Libyan Economy, 1970-2007

ALI, Issa; VERMA, Reetu - In: Applied Econometrics and International Development 12 (2012) 1

The paper discusses the evolution of economic development whilst examining the time series properties with two structural breaks for the Libyan economy using annual time series from 1970 to 2007. Both the Augmented Dickey-Fuller (ADF) and the Lee and Strazicich (2003) unit root tests are used to...

Persistent link: https://www.econbiz.de/10010674797

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/10010260712

Unusual Behaviour of Dickey-Fuller Tests in the Presence of Trend Misspecification: Comment

Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

Persistent link: https://www.econbiz.de/10005068884