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Subject
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Unit root test 3,508 Einheitswurzeltest 3,506 Theorie 1,608 Theory 1,608 Zeitreihenanalyse 1,131 Time series analysis 1,124 USA 1,021 United States 1,021 Estimation 980 Schätzung 980 Panel 686 Panel study 686 Kointegration 672 Cointegration 669 Structural break 532 Strukturbruch 531 Kaufkraftparität 527 Purchasing power parity 527 Statistischer Test 226 Statistical test 221 Nichtlineare Regression 213 Nonlinear regression 213 Schätztheorie 184 OECD countries 183 OECD-Staaten 183 Estimation theory 182 Economic convergence 176 Wirtschaftliche Konvergenz 176 National income 175 Nationaleinkommen 175 Stochastischer Prozess 159 Stochastic process 158 Autocorrelation 147 Autokorrelation 146 Welt 137 World 137 Monte Carlo simulation 126 Monte-Carlo-Simulation 125 Causality analysis 124 Kausalanalyse 124
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Online availability
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Free 806 Undetermined 448
Type of publication
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Article 2,408 Book / Working Paper 1,131
Type of publication (narrower categories)
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Article in journal 2,306 Aufsatz in Zeitschrift 2,306 Working Paper 834 Arbeitspapier 832 Graue Literatur 789 Non-commercial literature 789 Aufsatz im Buch 91 Book section 91 Hochschulschrift 35 Thesis 31 Collection of articles written by one author 17 Sammlung 17 Commentary 8 Kommentar 8 Konferenzschrift 8 Systematic review 8 Übersichtsarbeit 8 Case study 6 Conference paper 6 Fallstudie 6 Konferenzbeitrag 6 Bibliografie enthalten 5 Bibliography included 5 Collection of articles of several authors 5 Sammelwerk 5 Forschungsbericht 4 Lehrbuch 4 Amtsdruckschrift 3 Aufsatzsammlung 3 Government document 3 Reprint 3 Textbook 3 Mehrbändiges Werk 2 Multi-volume publication 2 Bibliografie 1 Elektronischer Datenträger 1 Rezension 1
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Language
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English 3,473 German 19 French 15 Spanish 12 Undetermined 12 Czech 2 Portuguese 2 Croatian 1 Lithuanian 1 Slovak 1 Swedish 1 Turkish 1
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Author
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Chang, Tsangyao 78 Taylor, Robert 78 Gil-Alaña, Luis A. 72 Phillips, Peter C. B. 66 Narayan, Paresh Kumar 62 Su, Chi-Wei 50 Westerlund, Joakim 49 Leybourne, Stephen James 48 Caporale, Guglielmo Maria 43 Chang, Hsu-Ling 35 Harvey, David I. 35 Smyth, Russell 34 Rodrigues, Paulo M. M. 28 Lütkepohl, Helmut 26 Wagner, Martin 25 Bahmani-Oskooee, Mohsen 22 Kapetanios, George 22 Omay, Tolga 22 Perron, Pierre 22 Ramírez, Miguel D. 22 Saikkonen, Pentti 22 Breitung, Jörg 21 Cavaliere, Giuseppe 21 Lee, Junsoo 21 Pesaran, M. Hashem 21 Rodriguez, Gabriel 21 Kunst, Robert M. 20 Haldrup, Niels 19 Holmes, Mark J. 19 Lee, Chien-chiang 19 Cook, Steven 18 Jansson, Michael 18 Nielsen, Morten Ørregaard 18 Papell, David H. 18 Ranjbar, Omid 18 Tiwari, Aviral Kumar 18 Elliott, Graham 17 Franses, Philip Hans 17 Lanne, Markku 17 Lopez, Claude 17
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Institution
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 18 Queen Mary College / Department of Economics 9 Ekonomiska forskningsinstitutet <Stockholm> 8 National Bureau of Economic Research 8 European University Institute / Department of Economics 7 Loughborough University / Department of Economics 7 Centre for Quantitative Economics & Computing 5 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Aarhus Universitet / Afdeling for Nationaløkonomi 4 Centre for Analytical Finance <Århus> 3 Johns Hopkins University / Department of Economics 3 Nationalekonomiska Institutionen <Lund> 3 University of Cambridge / Department of Applied Economics 3 Econometrisch Instituut <Rotterdam> 2 Economics Department, Queen's University 2 Escola de Pós-Graduação em Economia <Rio de Janeiro> 2 National Institute of Economic and Social Research 2 Shakai-Keizai-Kenkyūsho <Osaka> 2 State University of New York at Albany / Department of Economics 2 University of Cambridge / Faculty of Economics 2 University of Canterbury / Dept. of Economics and Finance 2 University of Exeter / Department of Economics 2 University of Warwick / Department of Economics 2 Birkbeck College / Department of Economics 1 Centre for Economic Policy Research 1 Centre for International Macroeconomics 1 Departamento de Economía, Pontificia Universidad Católica del Perú 1 EconWPA 1 Federal Reserve Bank of St. Louis 1 Institut für Wirtschaftsforschung Halle 1 Instituto Valenciano de Investigaciones Económicas 1 Instytut Badañ Gospodarczych (IBG) 1 Kansantaloustieteen Laitos <Helsinki> 1 Københavns Universitet / Økonomisk Institut 1 La Trobe University / School of Economics 1 London School of Economics and Political Science 1 Nationalekonomiska Institutionen <Göteborg> 1 Nationaløkonomiske Instituttet <Århus> 1 Nuffield College 1 Provozně ekonomická fakulta, Mendelova Univerzita v Brnĕ 1
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Published in...
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Economics letters 140 Applied economics letters 113 Applied economics 110 Journal of econometrics 107 Economic modelling 98 Econometric theory 84 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 78 The empirical economics letters : a monthly international journal of economics 47 Econometric reviews 45 Oxford bulletin of economics and statistics 44 The econometrics journal 39 Cowles Foundation discussion paper 38 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 30 International review of economics & finance : IREF 29 Energy economics 28 Journal of international money and finance 26 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 23 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 19 Discussion papers of interdisciplinary research project 373 18 Journal of macroeconomics 18 Applied financial economics 17 CESifo working papers 16 International journal of economics and financial issues : IJEFI 16 Discussion paper / Tinbergen Institute 15 Economics bulletin : EB 15 IHS economics series : working paper 15 Japan and the world economy : international journal of theory and policy 15 Department of Economics discussion paper / Department of Economics, The University of Birmingham 14 Discussion paper / Department of Economics, University of California San Diego 14 Theoretical and applied economics : GAER review 14 Working papers in economics 14 Empirica : journal of european economics 13 International advances in economic research : IAER ; an official publication of the International Atlantic Economic Society 13 Journal of applied econometrics 13 Reihe Ökonomie 13 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 13 Working paper series 13 Discussion paper / Monash University, Department of Economics 12 Discussion papers / Adam Smith Business School, University of Glasgow 12 Discussion papers in economics 12
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Source
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ECONIS (ZBW) 3,520 RePEc 17 EconStor 2
Showing 1 - 50 of 3,539
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A new test on asset return predictability with structural breaks
Cai, Zongwu; Chang, Seong Yeon - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012888261
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Missing values in panel data unit root tests
Karavias, Yiannis; Tzavalis, Elias; Zhang, Haotian - In: Econometrics : open access journal 10 (2022) 1, pp. 1-11
Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a common time period for all units. However, this...
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Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022
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Dynamics of exchange rate fluctuations in Turkey : evidence from symmetric and asymmetric causality analysis
Çeli̇k, Ali - In: Mokslo darbai / Ekonomika / Vilniaus Universitetas 101 (2022) 1, pp. 125-141
This study examines the factors affecting exchange rate fluctuations in Turkey by employing the quarterly data from 2008 to 2020. In this context, linear and nonlinear unit root tests were used to determine the stationarity levels of the variables. Then, symmetric and asymmetric causality...
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Hysteresis and stochastic convergence in Eurozone unemployment rates : evidence from panel unit roots with smooth breaks and asymmetric dynamics
Corakci, Aysegul; Omay, Tolga; Hasanov, Mübariz - In: Oeconomia Copernicana 13 (2022) 1, pp. 11-55
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Characterizing growth instability : new evidence on unit roots and structural breaks in countries’ long run trajectories
Russo, Emanuele; Foster-McGregor, Neil - In: Journal of evolutionary economics 32 (2022) 2, pp. 713-756
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Generic Identifiability for REMIS : The Case of Cointegrated Unit Root VAR
Gersing, Philipp; Sögner, Leopold; Deistler, Manfred - 2022
The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...
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Analyzing Persistence Degree of Shocks to Co2 Emission of U.S. States : Application of Linear and Nonlinear Fourier Quantile Unit Root Tests
Wang, Mei-Chih; Li, Fangjhy - 2022
Over recent decades, various USA government regulations and incentives, at both federal and state levels, encourage the development of green energy sources and the reduction of CO 2 emissions. In this paper, we investigate the degree of persistency of shocks to CO 2 per capita series in 50...
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Exuber : Recursive Right-Tailed Unit Root Testing with R
Martínez-García, Enrique; Pavlidis, Efthymios; … - 2022
This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi and Yu...
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Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order : Critical Comments
Luitel, Hari; Mahar, Gerry - 2022
In this research note, we accomplish two objectives. First, we reexamine the reliability of unit root findings in the study by Said and Dickey (1984) and show that their results are internally consistent. Second, we provide new results from the reanalysis of the original data that were not...
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Conditional Threshold Autoregression (CoTAR)
Motegi, Kaiji; Dennis, Jay; Hamori, Shigeyuki - 2022
We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...
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Assessing Debt Stationarity and Sustainability in the Longer Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions
Saadaoui, Jamel; Lau, Chi Keung Marco; Cai, Yifei - 2022
Thanks to various Fourier DF unit root tests, time-varying fiscal reaction functions and threshold regressions, this study examines the stationarity and the sustainability of public finance for six industrial countries over the period spanning from 1870 to 2017. Longer-run debt sustainability is...
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No Unit Root in Real GDP : Evidence for Preindustrial England, 1270-1700
Russo, Christopher - 2022
Using five centuries of annual data from preindustrial England, Zivot-Andrews tests reject the null hypothesis of a unit root in real GDP. The tests identify structural breaks at the start of the Black Death (1348) and the Wars of the Roses (1457). The tests conclude that real GDP was otherwise...
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Dynamic linkages among Saudi market sectors indices
Altahtamouni, Farouq; Masfer, Hajar; Alyousef, Shikhah - In: Economies : open access journal 10 (2022) 1, pp. 1-11
This study aims to test the causal relationship between Saudi stock market index (TASI) and sectoral indices throughout the period from 2016-2020. The study data were extracted through the main index of the Saudi market and the indices of the available data of 19 sectors out of 21 sectors. The...
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Mean reversions in major developed stock markets : recent evidence from unit root, spectral and abnormal return studies
Li, Wei-Xuan; Chen, Clara Chia Sheng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-20
We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...
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Estimation and inference for the threshold model with hybrid stochastic local unit root regressors
Chen, Chaoyi; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-15
In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root regressors. Our main contribution is to propose an estimator that generalizes the threshold model with various forms of nonstationary regressors and to obtain its limiting...
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Unemployment Hysteresis in Asian Countries : Findings Based on Flexible Fourier Form and Structural Break Unit Root Tests
Yaya, OlaOluwa S.; Ojo, Oluwadare; Awolaja, Oladapo - 2021
The present paper investigates unemployment hysteresis in 47 Asian countries using annual data from 1991 to 2019. A novel unit root framework, capable of modelling nonlinearity in the form of smooth break is applied due to the small sample sizes of the unemployment data. The results show...
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Unit Root Tests are Useful for Selecting Forecasting Models
Diebold, Francis X.; Kilian, Lutz - 2021
We study the usefulness of root tests as diagnostic tools for selecting forecasting models. Difference stationary and trend stationary models of economic and financial time series often imply very different predictions, so deciding which model to use is tremendously important for applied...
Persistent link: https://ebtypo.dmz1.zbw/10013224678
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Unit Roots in Real Gnp : Do We Know, and Do We Care?
Christiano, Lawrence J.; Eichenbaum, Martin - 2021
No, and maybe not. [additional text from author's introduction] To us, the possibility of providing a compelling case that real GMP is either trend or difference stationary seems extremely small, certainly on the basis of post-war data. This is because there is only one difference between these...
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Further Investigation of the Uncertain Unit Root in Gnp
Cheung, Yin-Wong; Chinn, Menzie David - 2021
A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of...
Persistent link: https://ebtypo.dmz1.zbw/10013218339
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Unit Roots, Postwar Slowdowns and Long-Run Growth : Evidence from Two Structural Breaks
Ben-David, Dan; Lumsdaine, Robin L.; Papell, David H. - 2021
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 allow for only one break. While about half of the...
Persistent link: https://ebtypo.dmz1.zbw/10013222058
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Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
Nelson, Charles R. - 2021
Recent research has proposed the state space (88) framework for decomposition of GNP and other economic time series into trend and cycle components, using the Kalman filter. This paper reviews the empirical evidence and suggests that the resulting decomposition may be spurious, just as...
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Structural breaks and explosive behavior in the long-run : the case of Australian real house prices, 1870-2020
Esteve García, Vicente; Prats Albentosa, María Asuncíon - In: Economics / Journal articles : the open-access, … 15 (2021) 1, pp. 72-84
In this article, we use tests of explosive behavior in real house prices with annual data for the case of Australia for the period 1870-2020. The main contribution of this paper is the use of very long time series. It is important to use longer span data because it offers more powerful...
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Empirical testing of purchasing power parity validity in selected European Union countries
Plošinjak, Jelko; Festić, Mejra - In: Naše gospodarstvo : NG 67 (2021) 4, pp. 13-32
In this article, the authors carried out an empirical analysis of the validity of purchasing power parity (PPP) in Slovenia, Croatia, the Czech Republic, Slovakia and Austria. The results provide mixed support for PPP, which is typical for extransition economies. In the first phase of the...
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Timely measurement of real effective exchange rates
Darvas, Zsolt M. - 2021
We demonstrate that short-run real exchange effective rate changes are dominated by nominal effective exchange rate changes, while inflation rates are sticky and contribute little to short-run real exchange rate changes. These observations allow a rather accurate real-time approximation of the...
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Assessing fiscal sustainability in Egypt : a comparative study
Al Sayed, Ola; Samir, Ashraf; Anwar, Heba Hesham - In: Review of economics and political science : REPS 6 (2021) 4, pp. 292-310
Purpose - This paper aims to assess the fiscal sustainability in Egypt during the period 1990-2018 using deficit accounts (DA) approach. It also tries to investigate the possibility of applying generational accounts (GA) in Egypt as a new approach to assess fiscal sustainability....
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Symbolic stationarization of dynamic equilibrium models
Canova, Fabio; Paulsen, Kenneth Sæterhagen - 2021
Dynamic equilibrium models are specifted to track time series with unit root-like behavior. Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often leads to algebraic mistakes, especially in models with several unit roots. We...
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Persistent link: https://ebtypo.dmz1.zbw/10012795579
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Multiple-index nonstationary time series models : robust estimation theory and practice
Dong, Chaohua; Gao, Jiti; Peng, Bin; Tu, Yundong - 2021
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The mean reverting behavior of inflation in the Philippines
Camba, Abraham C. Jr.; Camba, Aileen L. - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 10, pp. 239-247
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Are precious metals hedge against financial and economic variables? : evidence from cointegration tests
Yaqoob, Tanzeela; Iqbal, Javed - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 1, pp. 81-91
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The factor analytical approach in trending near unit root panels
Norkutė, Milda; Westerlund, Joakim; Stauskas, Ovidijus - 2021
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Empirical investigation of long run PPP hypothesis : the case of temporary structural break and asymmetric adjustment
Abioglu, Vasif; Hasanov, Mübariz - In: International journal of economic sciences : IJoES 10 (2021) 1, pp. 1-19
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Testing purchasing power parity in Cambodia : time-varying trade weights in constructing real effective exchange rate
Lim, Siphat - In: International journal of economics and financial issues … 11 (2021) 3, pp. 146-153
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Cointegration, root functions and minimal bases
Franchi, Massimo; Paruolo, Paolo - In: Econometrics : open access journal 9 (2021) 3, pp. 1-27
This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a vector space of...
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Analyzing unemployment rates convergence across the US states : new evidence using quantile unit root test
Hadizadeh, Arash - In: Iranian economic review : journal of University of Tehran 25 (2021) 3, pp. 453-464
Persistent link: https://ebtypo.dmz1.zbw/10012664174
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Are output fluctuations transitory or permanent? : new evidence from a novel global multi-scale modeling approach
Ahmed, Mumtaz; Azam, Muhammad; Bekiros, Stelios; Hina, … - In: Quantitative finance and economics 5 (2021) 3, pp. 373-396
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Examining the connection among national tourism expenditure and economic growth in Algeria
Hassoun, Salah Eddine Sari; Adda, Khayereddine Salim; … - In: Future Business Journal 7 (2021), pp. 1-9
Tourism is one of the most important sectors for several researchers and decision makers, due to its influence on the world economic growth in the twenty-first century, making it as a source of competition between countries to a global industry for its effective strategic role in the development...
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The persistence of suicides in G20 countries between 1990 and 2017 : an SPSM approach to three generations of unit root tests
Anyikwa, Izunna; Hamman, Nicolene; Phiri, Andrew - In: Comparative economic research : Central and Eastern Europe 24 (2021) 2, pp. 153-173
Suicides represent an encompassing measure of psychological wellbeing, emotional stability as well as life satisfaction, and they have been recently identified by the World Health Organization (WHO) as a major global health concern. The G20 countries represent the powerhouse of global economic...
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Seasonal Unit Roots in Aggregate U.S. Data
Beaulieu, Joe; Miron, Jeffrey A. - 2021
In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...
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Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence
Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 2021
This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...
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Use of Unit Root Methods in Early Warning of Financial Crises
Virtanen, Timo; Tölö, Eero; Virén, Matti; Taipalus, Katja - 2021
In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
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On Cross-Country Differences in the Persistence of Real Exchange Rates
Cheung, Yin-Wong; Lai, Kon S. - 2021
Previous findings of long-run purchasing power parity come mainly from data for industrial countries, raising the issue of whether the results suffer sample-selection bias and exaggerate the general relevance of parity reversion. This study uncovers substantial cross-country heterogeneity in the...
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Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements
Westermann, Frank; Cheung, Yin-Wong - 2021
Using a time series framework, the paper studies the interactions of the annual real per capita GDP data of the G7 countries. We find evidence of six common nonstationary processes behind the international output dynamics. In addition, there is evidence for the existence of a common business...
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Decisions on Seasonal Unit Roots
Reutter, Michael; Kunst, Robert M. - 2021
Decisions on the presence of seasonal unit roots in economic time series are commonly taken on the basis of statistical hypothesis tests. Some of these tests have absence of unit roots as the null hypothesis, while others use unit roots as their null. Following a suggestion by Hylleberg (1995)...
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Testing for Output Convergence : A Re-Examination
Garcia Pascual, Antonio I.; Cheung, Yin-Wong - 2021
This paper investigates output convergence for the G7 countries using multivariate time series techniques. We consider both the null hypotheses of no convergence and convergence. It is shown that inferences on output convergence depend on which one of the two null hypotheses is considered....
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Unit Roots and Cointegration in Panels
Breitung, Jörg; Pesaran, M. Hashem - 2021
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...
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Health Care Expenditures in OECD Countries : A Panel Unit Root and Cointegration Analysis
Dreger, Christian; Reimers, Hans-Eggert - 2021
This paper investigates the link between health care expenditures and GDP for a sample of 21 OECD countries using recent developed panel cointegration techniques. In contrast to previous studies, the analysis accounts for the fact that health care expenditures are not only determined by income....
Persistent link: https://ebtypo.dmz1.zbw/10013318758
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://ebtypo.dmz1.zbw/10013316613
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Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors regressors
Peng, Zhen; Dong, Chaohua - 2021
Since an economic or financial variable may be affected by both stationary andnonstationary variables, this paper proposes a class of augmented cointegrating linear(ACL) models that accommodate these time series of different types. Moreover, thevariables are allowed to be strongly correlated in...
Persistent link: https://ebtypo.dmz1.zbw/10013323760
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