Search Results - subject_exact:"Unit root test" - EconBiz

Do trade frictions distort the Purchasing Power Parity (PPP) hypothesis? : a closer look

Bonga-Bonga, Lumengo - 2025

This paper investigates whether trade frictions, in the form of exchange controls, are among the main obstacles preventing the Purchasing Power Parity (PPP) hypothesis from being valid among trading nations. It specifically looks at whether exchange controls - a type of trade friction - hinder...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436954

Show one more version 1

Do trade frictions distort the purchasing power parity (PPP) hypothesis : a closer look

Bonga-Bonga, Lumengo - 2023

Book / Working Paper

Testing the carbon hysteresis hypothesis in Azerbaijan : evidence from nonlinear unit root tests

Javanshirova, Zuleykha; Mirzayev, Farhad; Babashova, Sakina - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618682

Detecting sparse cointegration

Gonzalo, Jesús; Pitarakis, Jean-Yves - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665003

Show one more version 1

Detecting sparse cointegration

Gonzalo, Jesús; Pitarakis, Jean-Yves - 2024

Book / Working Paper

The impact of COVID-19 on the cypriot stock market dynamics

Christodoulou-Volos, Christos; Tserkezos, Dikaios - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014632255

Self-weighted estimation for local unit root regression with applications

Hu, Zhishui; Liu, Nan; Phillips, Peter C. B.; Wang, Qiying - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015076938

On testing for bubbles during hyperinflations

Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014506885

Spatial unit roots in regressions : a practitioner's guide and a stata package

Becker, Sascha O.; Boll, Paul David; Voth, Hans-Joachim - 2025

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191744

Show 4 more versions 4

Spatial unit roots in regressions : a practitioner's guide and a stata package

Becker, Sascha O.; Boll, Paul David; Voth, Hans-Joachim - 2025

Book / Working Paper

Spatial unit roots in regressions : a practitioner's guide and a stata package

Becker, Sascha O.; Boll, Paul David; Voth, Hans-Joachim - 2025

Book / Working Paper

Spatial unit roots in regressions : a practitioner's guide and a stata package

Becker, Sascha O.; Boll, Paul David; Voth, Hans-Joachim - 2025

Book / Working Paper

Spatial unit roots in regressions : a practitioner's guide and a stata package

Becker, Sascha O.; Boll, Paul David; Voth, Hans-Joachim - 2025

Book / Working Paper

Persistence in real GDP : evidence from Europe and the US

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2025

This note provides extensive evidence on the persistence properties of real GDP in 17 European countries and in the US over the period 1960-2023 using a fractional integration framework. The analysis suggests that in all cases shocks have permanent effects on the level of real GDP. This is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339893

Testing for persistence in real house prices in 47 countries from the OECD database

Caporale, Guglielmo Maria; Dominguez, Alfonso; … - 2025

This paper provides a comprehensive analysis of persistence in real house prices at the quarterly frequency in 47 countries from the OECD Database using fractional integration methods. The sample period varies depending on data availability, the longest series being the Japanese one (from...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197275

Is there PPP in the data? : new evidence from a structural DSGE model

Minford, Patrick; Ou, Zhirong; Zhu, Zheyi - 2025

There has been a long-running debate in international macroeconomics about whether there is purchasing power parity (PPP) in the data. But while the literature has been dominated by reduced-form evidence focusing on the real exchange rate dynamics including its long-run behaviour, little...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329671

Speed of convergence to normality when regressors are nonstationary

Gatarek, Lukasz T.; Welfe, Aleksander - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470451

Unit root tests for explosive financial bubbles in the presence of deterministic level shifts

Harvey, David I.; Leybourne, Stephen James; Tatlow, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470453

Cross section curve autoregression : the unit root case

Phillips, Peter C. B.; Jiang, Liang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448075

Hyperinflation and explosive behaviour in the general price level

Crespo, Raul J. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451901

Bubbling up? : what consumer expectations reveal about U.S. housing market exuberance

Martínez-García, Enrique; Pavlidis, Efthymios G. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406639

The Catalan commercial integration with early modern Europe, 1630-1778

Manera, Carles; Perez-Montiel, Jose; Ozcelebi, Oguzhan; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411668

A data set for domestic and foreign private and public R&D stocks and labour-augmenting technical change for 44 rich or emerging economies with explorations on panel unit roots, cointegration, growth rate slowdown, and con- or divergence

Ziesemer, Thomas - 2025

We extend existing data sets for domestic and foreign private and public R&D stocks as well as labour-augmenting technical change data based on CES production functions. We cover slightly more periods and many more countries, now 44 up from 17. We consider panel unit root issues for a large...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434603

An analytical study on the stability properties of energy consumption from fossil fuels : a panel stability test and Zivot-Andrews unit root test approach in the context of brics nations

Issayeva, Gulmira; Zhussipova, Elmira Y.; Pazilov, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440231

A fractional integration model and testing procedure with roots within the unit circle

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2025

This paper puts forward a general statistical model in the time domain based on the concept of fractional integration. More specifically, in the proposed framework instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This approach...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426970

A fractional integration model with autoregressive processes

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2025

This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426971

Analyzing stationarity in world coffee prices

Flores Komatsu, C.; Gil-Alaña, Luis A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015590228

Comparison of the performance of structural break tests in stationary and nonstationary series : a new bootstrap algorithm

Çamalan, Özge; Hasdemir, Esra; Omay, Tolga; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015590353

Effective convergence trading of sparse, mean reverting portfolios

Rácz, Attila; Fogarasi, Norbert - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591107

Economic convergence of Balkan regions towards EU

González, María A.; Montañés, Antonio; Ruiz, Esther; … - 2025

This paper analyzes convergence of per capita Gross Domestic Product (GDP) of Balkan NUTS3 regions to average GDP of the EU27. Employing stochastic and β-convergence approaches, we find strong evidence supporting convergence across the panel, indicating a robust catch-up trend of the Balkans...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620245

Estimating the relationship between economic growth and health expenditures in the BRICS countries using a panel cointegration approach

Dritsaki, Melina; Dritsaki, Chaido; Argyriou, Vasileios; … - 2025

This study examines the impact of health expenditure on economic growth in the BRICS countries during the period 2000-2021. Economic growth is measured by GDP per capita, while per capita health expenditure serves as the principal explanatory variable. Consistent with the framework of endogenous...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015624823

A time-varying estimation of an external reaction function for European Monetary Union countries : the role of risk-aversion and financial openness

Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015624890

Asymptotic F and t tests in cointegrating regressions with asymptotically homogeneous functions

Hwang, Jungbin; Sun, Yixiao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015183163

Resolving the dilemma of unemployment rate hysteresis versus the natural rate hypothesis in India

Singh, Deepti - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664896

Power of unit root tests against nonlinear and noncausal alternatives with an application to the brent crude oil price

Bec, Frédérique; Guay, Alain; Bohn Nielsen, Heino; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437847

Infill asymptotic theory and applications in financial econometrics

Lui, Yiu Lim - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426488

Circular behavior of oil consumption and the impact of oil prices with the Fourier approach

Oltulular, Sabiha - 2024

In the changing world, oil continues to be important in energy production. Using monthly data from 1965 to 2022, the permanency of oil consumption fluctuations was investigated. Fourier-based Granger causality tests were used to examine cause-and-effect relationships between variables. Long-term...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014632395

An assessment of purchasing power parity in the long-run : evidence from India and its four Major Trading partners

Kaur, Manjinder; Kulaar, Navpreet - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636705

Shrinkage estimation and forecasting in dynamic regression models under structural instability

Mehrabani, Ali; Parsaeian, Shahnaz; Ullah, Aman - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015117659

Show one more version 1

Shrinkage estimation and forecasting in dynamic regression models under structural instability

Mehrabani, Ali; Parsaeian, Shahnaz; Ullah, Aman - 2024

Book / Working Paper

Persistence of the sovereign debt components and debt sustainability : some evidence for the US and Europe

Caporale, Guglielmo Maria; Martin-Valmayor, Miguel A.; … - 2024

This paper analyses the persistence and mean reversion properties of sovereign debt and its components by applying fractional integration methods to long runs of annual data starting in 1831 for the UK and the US, in 1862 for Italy and in 1881 for France and Germany, and ending in all cases in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077843

Inflation dynamics and persistence : the importance of the uncertainty channel

Canepa, Alessandra - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014534818

House price bubbles under the COVID-19 pandemic

Hansen, Jacob Hald; Møller, Stig Vinther; Pedersen, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491882

Assessing the stationarity of per capita electricity consumption : time series analysis in asean countries

Parreño, Samuel John E. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014495494

Navigating inflation challenges : AI-based portfolio management insights

Bareith, Tibor; Tatay, Tibor; Vancsura, László - 2024

After 2010, the consumer price index fell to a low level in the EU. In the euro area, it remained low between 2010 and 2020. The European Central Bank has even had to take action against the emergence of deflation. The situation changed significantly in 2021. Inflation jumped to levels not seen...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497442

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015154320

Show one more version 1

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

Book / Working Paper

Asymptotically uniformly most powerful tests for unit roots in gaussian panels with cross-sectional dependence generated by common factors

Wichert, Oliver; Becheri, I. Gaia; Drost, Feike C.; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015154321

Max Share identification for structural VARs in levels : there is no free lunch!

Guay, Alain; Pelgrin, Florian; Surprenant, Stéphane - 2024 - This version: November 14, 2024

This paper examines the implications of using VARs in levels under the Max Share identification approach when variables exhibit unit or near-unit roots. We derive the asymptotic distributions of the Max Share estimator, demonstrating that it converges to a random matrix, resulting in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015156849

House price convergence in the very long run

Pan, Lei; Matsuki, Takashi - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015121016

Forecast performance of noncausal autoregressions and the importance of unit root pretesting

Bec, Frédérique; Bohn Nielsen, Heino - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110600

Assessing fiscal sustainability with panel unit root, cointegration, and granger causality tests : evidence from the broader groups of countries

Fir, Nejc - 2024

The question of fiscal sustainability of countries has become one of the central topics in economic policy, especially in times of increasing public debts. One way to assess fiscal sustainability is to examine compliance with the intertemporal budget constraint, which involves testing the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130392

An empirical investigation of the relationship between foreign direct investment and unemployment rate in Azerbaijan : an ARDL approach

Karimov, Mehman; Nesirov, Elcin; Zeynalli, Elay; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272314

New evidence on the income convergence among OECD countries

Yucel, Ali; Moore, Landon; Khadka, Pawonee; Lee, Junsoo - 2024

This paper illustrates the importance of accounting for cross-correlations among panel data sets in examining stationarity. Strazicich et al. (2004) utilized the LM unit root tests with two trend shifts to examine the income convergence among twenty-one OECD countries. We revisit their analysis...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015332428

The global financial crisis impact on stock market efficiency : a Fourier unit root tests analysis

Shaik, Muneer; Kamdar, Pratik; Nawaz, Nishad; Rabbani, … - 2024

This study investigates how the Global Financial Crisis has affected the weak-form Efficient Market Hypothesis (EMH) on the stock prices of sixteen nations throughout the globe based on a suite of Fourier unit root tests. Considering the smooth structural breaks, we employed the Fourier-based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337835

Testing for fractional cointegration in subsamples by allowing for structural breaks

Kreye, Tom Jannik - 2024

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015175368

What drives the recent surge in inflation? : the historical decomposition roller coaster

Bergholt, Drago; Canova, Fabio; Furlanetto, Francesco; … - 2024 - This version: April 8, 2024

What drives the recent inflation surge? To answer this question, one must decompose inflation fluctuations into the contribution of structural shocks. We document how whimsical such a historical shock decomposition can be in standard vector autoregressive (VAR) models. We show that the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015179381

Show one more version 1

What drives the recent surge in inflation : the historical decomposition roller coaster

Bergholt, Drago; Canova, Fabio; Furlanetto, Francesco; … - 2024

Book / Working Paper

Trends in temperature data : micro-foundations of their nature

Gadea, María Dolores; Gonzalo, Jesús; Ramos, Andrey - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448047

Show one more version 1

Trends in temperature data : micro-foundations of their nature

Gadea, María Dolores; Gonzalo, Jesús; Ramos, Andrey - 2023

Book / Working Paper

A service of the

FAQ-Assistent (beta)