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This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...
Persistent link: https://www.econbiz.de/10010290329
Using nonlinear testing procedures relevant to the recent literature, this study provides evidence of nonlinear adjustment of nominal exchange rate towards monetary fundamentals in the context of ASEAN-5 countries. While it supports earlier findings supportive of monetary exchange rate model in...
Persistent link: https://www.econbiz.de/10005619526
[The original version of this paper appeared as a University of California San Diego working paper in 1990 but has since disappeared from the web. This version includes a new appendix.] This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although...
Persistent link: https://www.econbiz.de/10008671794
This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...
Persistent link: https://www.econbiz.de/10008556270
that there is a serious size distortion for the Nonlinear Dickey-Fuller F test when GARCH errors appear in the Data … Wavelet technique to count off the GARCH distortion and to improve the size property of the test under GARCH error. We also … discuss the asymptotic distributions of the test statistics in GARCH and wavelet environments. Finally, an empirical example …
Persistent link: https://www.econbiz.de/10005645265
We consider how unit root and stationarity tests can be used to study the convergence properties of prices and rates of inflation. Special attention is paid to the issue of whether a mean should be extracted in carrying out unit root and stationarity tests and whether there is an advantage to...
Persistent link: https://www.econbiz.de/10005111570
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
Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and...
Persistent link: https://www.econbiz.de/10012602905
Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number of wavelet statistics. The analysis can then be rather confusing and even...
Persistent link: https://www.econbiz.de/10009197275
Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and...
Persistent link: https://www.econbiz.de/10012500129