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Subject
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Unit root test 4,149 Einheitswurzeltest 4,147 Theorie 1,528 Theory 1,528 Zeitreihenanalyse 1,373 Time series analysis 1,366 Estimation 1,104 Schätzung 1,104 Kointegration 907 Cointegration 902 Panel 837 Panel study 837 Structural break 623 Strukturbruch 623 Kaufkraftparität 615 Purchasing power parity 615 Schätztheorie 436 Estimation theory 434 Statistischer Test 283 USA 283 United States 283 Statistical test 278 Nichtlineare Regression 270 Nonlinear regression 270 OECD countries 269 OECD-Staaten 269 National income 223 Nationaleinkommen 223 Stochastic process 219 Stochastischer Prozess 219 Autocorrelation 218 Autokorrelation 217 Economic convergence 209 Wirtschaftliche Konvergenz 209 Welt 183 World 183 Wirtschaftswachstum 168 Economic growth 166 Causality analysis 165 Kausalanalyse 165
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Online availability
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Free 1,193 Undetermined 602
Type of publication
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Article 2,687 Book / Working Paper 1,497
Type of publication (narrower categories)
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Article in journal 2,568 Aufsatz in Zeitschrift 2,568 Working Paper 846 Arbeitspapier 844 Graue Literatur 826 Non-commercial literature 826 Aufsatz im Buch 102 Book section 102 Hochschulschrift 36 Thesis 31 Collection of articles written by one author 17 Sammlung 17 Conference paper 8 Konferenzbeitrag 8 Konferenzschrift 8 Systematic review 8 Übersichtsarbeit 8 Case study 6 Fallstudie 6 Bibliografie enthalten 5 Bibliography included 5 Collection of articles of several authors 5 Sammelwerk 5 Amtsdruckschrift 4 Forschungsbericht 4 Government document 4 Lehrbuch 4 Reprint 3 Textbook 3 Aufsatzsammlung 2 Mehrbändiges Werk 2 Multi-volume publication 2 Elektronischer Datenträger 1 Rezension 1
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Language
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English 4,118 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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Phillips, Peter C. B. 104 Chang, Tsangyao 87 Taylor, Robert 81 Gil-Alaña, Luis A. 78 Narayan, Paresh Kumar 69 Westerlund, Joakim 55 Caporale, Guglielmo Maria 50 Su, Chi-Wei 49 Leybourne, Stephen James 43 Harvey, David I. 39 Lee, Junsoo 35 Smyth, Russell 34 Chang, Hsu-Ling 33 Kapetanios, George 32 Wagner, Martin 29 Rodrigues, Paulo M. M. 28 Breitung, Jörg 26 Lütkepohl, Helmut 26 Pesaran, M. Hashem 26 Saikkonen, Pentti 26 Bahmani-Oskooee, Mohsen 25 Nielsen, Morten Ørregaard 25 Ramírez, Miguel D. 25 Cavaliere, Giuseppe 24 Jansson, Michael 23 Lopez, Claude 23 Omay, Tolga 23 Perron, Pierre 23 Haldrup, Niels 21 Papell, David H. 21 Shin, Yongcheol 21 Kunst, Robert M. 20 Lee, Chien-chiang 20 Ranjbar, Omid 20 Rodriguez, Gabriel 20 Xiao, Zhijie 20 Österholm, Pär 20 Cook, Steven 19 Elliott, Graham 19 Lanne, Markku 19
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Institution
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 21 Queen Mary College / Department of Economics 9 Ekonomiska forskningsinstitutet <Stockholm> 8 European University Institute / Department of Economics 7 Loughborough University / Department of Economics 7 National Bureau of Economic Research 7 Centre for Quantitative Economics & Computing 6 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 OECD 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 Nationalekonomiska Institutionen <Lund> 2 Shakai-Keizai-Kenkyūsho <Osaka> 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 York / Department of Economics and Related Studies 2 Birkbeck College / Department of Economics 1 Carleton University / 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
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Published in...
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Economics letters 148 Applied economics letters 124 Journal of econometrics 119 Applied economics 118 Economic modelling 98 Econometric theory 91 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 79 Econometric reviews 53 The empirical economics letters : a monthly international journal of economics 52 Cowles Foundation discussion paper 45 Oxford bulletin of economics and statistics 44 The econometrics journal 42 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 31 Energy economics 30 International review of economics & finance : IREF 28 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 27 Journal of international money and finance 26 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 23 CESifo working papers 22 Discussion papers of interdisciplinary research project 373 21 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 21 Applied financial economics 20 International journal of economics and financial issues : IJEFI 20 Theoretical and applied economics : GAER review 20 Journal of macroeconomics 18 Japan and the world economy : international journal of theory and policy 16 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 16 Cowles Foundation Discussion Paper 15 Economics bulletin : EB 15 IHS economics series : working paper 15 Discussion paper / Department of Economics, University of California San Diego 14 Empirica : journal of european economics 14 International advances in economic research : IAER ; an official publication of the International Atlantic Economic Society 14 International journal of economics and finance 14 Working papers in economics 14 Computational economics 13 Department of Economics discussion paper / Department of Economics, The University of Birmingham 13 Discussion papers in economics 13 International journal of finance & economics : IJFE 13 Journal of applied econometrics 13
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Source
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ECONIS (ZBW) 4,165 RePEc 17 EconStor 2
Showing 1 - 50 of 4,184
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Forecasting levels in loglinear unit root models
VanGarderen, Kees Jan - In: Econometric reviews 42 (2023) 9/10, pp. 780-805
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A multivariate autoregressive distributed lag unit root test
McNown, Robert F.; Sam, Chung Yan; Khoon, Goh Soo; Goh, … - 2023
Persistent link: https://ebtypo.dmz1.zbw/10014328846
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Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions
Wagner, Martin - In: Empirical economics : a quarterly journal of the … 65 (2023) 1, pp. 1-31
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Reflections on "testing for unit roots in heterogeneous panels"
Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013530823
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Reflections on “Testing for Unit Roots in Heterogeneous Panels”
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - 2023
This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...
Persistent link: https://ebtypo.dmz1.zbw/10014262740
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External sustainability in Spanish economy : bubbles and crises, 1970-2020
Esteve García, Vicente; Prats Albentosa, María Asuncíon - In: Review of international economics 31 (2023) 1, pp. 60-80
Persistent link: https://ebtypo.dmz1.zbw/10014278121
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Testing for multiple bubbles: historical episodes on the sustainability of public debt in Spain, 1850-2020
Esteve García, Vicente; Prats Albentosa, María Asuncíon - In: Applied economic analysis : AEA 31 (2023) 91, pp. 1-18
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Asymptotically Uniformly Most Powerful Tests for Unit Roots in Gaussian Panels with Cross-Sectional Dependence Generated by Common Factors
Van den Akker, Ramon; Becheri, I. Gaia; Drost, Feike C.; … - 2023
This paper considers testing for unit roots in Gaussian panels with crosssectional dependence generated by common factors. Within our setup we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon & Perron (2004), who specify a factor model for the...
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Exploring the tourism markets' convergence hypothesis in South Korea
Matsuki, Takashi; Pan, Lei - In: Tourism economics : the business and finance of tourism … 29 (2023) 7, pp. 1960-1971
Persistent link: https://ebtypo.dmz1.zbw/10014384557
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Estimation and inference with near unit roots
Phillips, Peter C. B. - In: Econometric theory 39 (2023) 2, pp. 221-263
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Per capita income convergence and divergence of selected OECD countries to and from the US : a reappraisal for the period 1900-2018
Kónya, László - In: Applied econometrics and international development 23 (2023) 1, pp. 33-56
Persistent link: https://ebtypo.dmz1.zbw/10014253871
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Are shocks to electricity consumption permanent or transitory? : evidence from a panel stationarity test with gradual structural breaks for 25 OECD countries
Husein, Jamal G.; Kara, S. Murat - In: Applied econometrics and international development 23 (2023) 1, pp. 57-76
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A review of Phillips-type right-tailed unit root bubble detection tests
Hu, Yang - In: Journal of economic surveys 37 (2023) 1, pp. 141-158
Persistent link: https://ebtypo.dmz1.zbw/10014287809
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Reflections on "testing for unit roots in heterogeneous panels"
Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol - 2023
This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...
Persistent link: https://ebtypo.dmz1.zbw/10013494205
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Long-run association between bank credit and output : a study on districts' panel of West Bengal, India
Das, Ramesh Chandra; Chavan, Soniya - In: Global business review 24 (2023) 5, pp. 845-859
Persistent link: https://ebtypo.dmz1.zbw/10014432219
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Nature and causes of economic fluctuations : evidence from the U.S. based on a nonlinear autoregressive integrated process
Li, Xiang; He, Zonglu - In: International journal of empirical economics 2 (2023) 3, pp. 1-21
Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic...
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10013292090
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013293633
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Unit root test with high-frequency data
Laurent, Sébastien; Shi, Shuping - In: Econometric theory 38 (2022) 1, pp. 113-171
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Trend-cycle decompositions of real GDP revisited : classical and Bayesian perspectives on an unsolved puzzle
Kim, Chang-jin; Kim, Jaeho - In: Macroeconomic dynamics 26 (2022) 2, pp. 394-418
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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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Finite sample critical values for flexible fourier form lagrange-multiplier and dickey-fuller unit root tests
King, Alan - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013279220
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Robust testing for explosive behavior with strongly dependent errors
Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013542210
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Does optimal capital structure exist in Chinese military enterprises? : Evidence from industrial heterogeneity
Su, Chi-Wei; Wang, Kaihua - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 128-149
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Mean reversions in major developed stock markets : recent evidence from unit root, spectral and abnormal return studies
Nguyen, James; 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...
Persistent link: https://ebtypo.dmz1.zbw/10013272993
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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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The impact of macroeconomic factors on the US Stock Exchange
Süslü, Cemil - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-22
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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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Unit-root tests in high-dimensional panels
Wichret, Oliver - 2022
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Persistent link: https://ebtypo.dmz1.zbw/10013191550
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The econometrics of global warming
Razzak, Weshah A. - 2022
Evidence-based policy of global warming is best relying on a relevant sample of data. We choose a sample of annual data from 1959 to-date to provide some statistically robust stylized facts about the relationships between actual CO2 and temperature. Visually, there is a clear upward trend in...
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10013306630
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013308880
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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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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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Stochastic local and moderate departures from a unit root and its application to unit root testing
Nishi, Mikihito; Kurozumi, Eiji - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013364485
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013041203
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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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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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Transmission Effects in the Presence of Structural Breaks : Evidence from South-Eastern European Countries
Papadopoulos, Athanasios P.; Koukouritakis, Minoas; … - 2022
In this paper, we investigate the monetary transmission mechanism through interest rate and real effective exchange rate channels, for five South-Eastern European countries, namely Bulgaria, Croatia, Greece, Romania and Turkey. Recent unit root and cointegration techniques in the presence of...
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Testing Unemployment Hysteresis in European Countries : Argument Based on Three-Generation Unit Root Tests
Yaya, OlaOluwa S.; Ogbonna, Ahamuefula Ephraim; … - 2022
This paper employs a comprehensive set of “state-of-the-art” unit root tests, including the autoregressive neural network (ARNN) unit root test (Yaya et al. 2021; Oxford Bulletin of Economics and Statistics), to investigate unemployment hysteresis in five European countries: France, Italy, the...
Persistent link: https://ebtypo.dmz1.zbw/10014080991
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Testing Fractional Integration in Time Series with Artificial Neural Network
Furuoka, Fumitaka; Gil-Alana, Luis A.; Yaya, OlaOluwa S.; … - 2022
This paper initiates a non-linear fractional unit root test also known as autoregressive neural network–fractional integration (ARNN–FI) test. The test is based on a new multilayer perceptron of a neural network process which is applied in Yaya et al. (2021). Further, to investigate the...
Persistent link: https://ebtypo.dmz1.zbw/10014080994
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Fourier Nonlinear Quantile Unit Root Test of Purchasing Power Parity in Cryptocurrencies
Goswami, Gour Gobinda; Saha, Tapas - 2022
The primary purpose of this article is to conduct the Fourier Nonlinear Unit Root Test to check Purchasing Power Parity (PPP) for seven cryptocurrencies traded in seventeen countries from 2010 to 2021. The unit root test provides moderate support to the PPP hypothesis when we use each...
Persistent link: https://ebtypo.dmz1.zbw/10014236197
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Reconciling Interest Rates Evidence with Theory : Rejecting Unit Roots When the Hd(1) is a Competing Alternative
Palandri, Alessandro - 2022
The paper introduces the HD(1), a Markovian process of order one with reversion rates that are faster the farther the process is from equilibrium. The aHD(1) approximation is introduced to allow for an estimation-calibration procedure based on available ARMA routines. Critical values of unit...
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Unit root tests considering initial values and a concise method for computing powers
Hitomi, Kohtaro; Jin, Jianwei; Nagai, Keiji; Nishiyama, … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10014284744
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Relationship between foreign direct investment inflows and Covid-19 pandemic in Pakistan : a monthly co-integration analysis
Khan, Ayesha Serfraz - 2022
The global COVID-19 pandemic brought many challenges for the world including the downfall in foreign direct investment inflows (FDI). Although there are many other factors which cause a decline in FDI inflows in Pakistan but present study mainly focuses on COVID-19 pandemic as this resulted in...
Persistent link: https://ebtypo.dmz1.zbw/10013466733
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Revisiting the long-run dynamic linkage between dividends and share price with advanced panel econometrics techniques
Mohapatra, Sudatta Bharati; Kar, Nirmal Chandra - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-19
The log-linearized present value model (PVM) has been widely used in corporate finance to understand the long-run relationship between share price and dividends using panel data. However, the application of recently established panel econometric approaches that account for slope heterogeneity...
Persistent link: https://ebtypo.dmz1.zbw/10013470997
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A time series analysis of judicial foreclosures in Spain
González-Val, Rafael - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-22
There was an unprecedented wave of foreclosures and evictions in Spain after the 2008 global financial crisis. The subsequent Great Recession had strong economic, social and environmental consequences. This paper explores the frequency of permanent shocks in foreclosure quarterly rates (defined...
Persistent link: https://ebtypo.dmz1.zbw/10013471156
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Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://ebtypo.dmz1.zbw/10013417630
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