Search Results - subject:"deterministic trend"

Testing for a Deterministic Trend when there is Evidence of Unit-Root

Gómez, Manuel; Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2010

simultaneous presence of a deterministic trend obliterates that consequence. As such, the long-run level of macroeconomic series … depends upon the existence of a deterministic trend. This paper proposes a formal statistical procedure to distinguish between …

Persistent link: https://www.econbiz.de/10011112638

The effect of recursive detrending on panel unit root tests

Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 453-467

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend....

Persistent link: https://www.econbiz.de/10011190734

The effect of recursive detrending on panel unit root tests

Westerlund, Joakim - In: Journal of econometrics 185 (2015) 2, pp. 453-467

Persistent link: https://www.econbiz.de/10011348966

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - In: The journal of futures markets 35 (2015) 4, pp. 339-356

Persistent link: https://www.econbiz.de/10011348418

Trade liberalization and regional income convergence in Mexico: a time-series analysis

Gómez, Manuel; Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2007

We study the hypothesis of convergence amongst Mexican regions since 1940 with special interest in the post-trade liberalization period. A standard time-series convergence test shows that per capita income levels between the capital and the rest of the regions tend to narrow over time. Using the...

Persistent link: https://www.econbiz.de/10011107735

Inappropriate Detrending and Spurious Cointegration

Kang, Heejoon - Department of Business Economics and Public Policy, … - 2006

estimated with deterministic trend terms. Cointegration is, however, critically dependent on whether time series is detrended or …

Persistent link: https://www.econbiz.de/10005453603

SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence

Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - In: Computational Economics 41 (2013) 2, pp. 249-265

semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametric deterministic trend …

Persistent link: https://www.econbiz.de/10010866837

Simple unit root testing in generally trending data with an application to precious metal prices in Asia

Westerlund, Joakim - In: Journal of Asian Economics 28 (2013) C, pp. 12-27

implementation. In particular, the asymptotic critical values are shown to be “almost” independent of the deterministic trend …This paper proposes a new unit root test that is general enough to accommodate a potentially non-linear deterministic … trend function, making it one of the most general tests around. However, the main advantage lies with its simple …

Persistent link: https://www.econbiz.de/10011042799

Simple unit root testing in generally trending data with an application to precious metal prices in Asia

Westerlund, Joakim - In: Journal of Asian economics 28 (2013), pp. 12-27

Persistent link: https://www.econbiz.de/10010400872

Panel Cointegration Tests with Deterministic Trends and Structural Breaks

Westerlund, Joakim; Edgerton, David - 2005

This paper proposes Lagrange multiplier (LM) based tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, individual specific time trends, and a single structural break in both the intercept and...

Persistent link: https://www.econbiz.de/10013208493