In this paper we investigate the impact of non-stationary cycles on the asymptotic and finite sample properties of standard unit root tests. Results are presented for the augmented Dickey-Fuller normalised bias and t-ratio-based tests (Dickey and Fuller, 1979, and Said and Dickey, 1984), the...

One of the prevalent topics in the economic growth literature is the debate between neoclassical, semi-endogenous, and endogenous growth theories regarding the model that best describes the data. An important part of this discussion can be summarized in three mutually exclusive hypotheses: the...

Certain ”spurious long memory” processes mimic the behavior of fractional integration in that the variance of their sample mean behaves like that of a fractionally integrated process of some order D. We show, however, experimentally that a fractional integration test may discriminate between...

In two recent papers Enders and Lee (2008) and Becker et al. (2006) provide Lagrange multiplier and OLS de-trended unit root tests, and stationarity tests, respectively, which incorporate a Fourier approximation element in the deterministic component. Such an approach can prove useful in...

This paper proposes tests for seasonal unit roots allowing for the presence of a break in the trend slope occurring at an unknown date. In particular, new LM type tests are derived based on the framework introduced by Hylleberg, Engle, Granger and Yoo [HEGY] (1990). Null asymptotic distributions...

The performance evaluation of bank branches is a difficult task. One of the main reasons for this difficulty is the complexity inherent in the variety of aspects to be considered in the evaluation, and the multiple and conflicting interests of the different stakeholders involved. In this paper...

This paper discusses the asymptotic and finite-sample properties of CUSUM-based tests for detecting structural breaks in volatility in the presence of stochastic contamination, such as additive outliers or measurement errors. This analysis is particularly relevant for financial data, on which...

Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency domain tests proposed by Robinson (1994) and the time domain...

This paper analyses the calendar effects present in Automated Teller Machines (ATM) withdrawals of residents, using daily data for Portugal for the period from January 1st 2001 to December 31st 2008. The results presented may allow for a better understanding of consumer habits and for adjusting...

The intangibility of banking services makes the evaluation of service quality and customer convenience difficult to measure. Bankers obviously recognize the importance of intangible factors, but because of pressures placed on operating margins caused by the current economic climate and...