Download or read book Testing for Unit Roots in Autoregressions with Multiple Level Shifts written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion and a Poisson-type jump process. Due to the latter, tests based on standard critical values experience power losses increasing rapidly with the number and the magnitude of the shifts. A new approach to unit root testing is suggested which requires no knowledge of either the location or the number of level shifts, and which dispenses with the assumption of independent shift occurrence. It is proposed to remove possible shifts from a time series by weighting its increments according to how likely it is, with respect to an ad hoc postulated distribution, a shift to have occurred in each period. If the number of level shifts is bounded in probability, the limiting distributions of the proposed test statistics coincide with those of ADF statistics under standard conditions. A Monte Carlo experiment shows that, despite their generality, the new tests perform well in finite samples.
Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Download or read book Almost All About Unit Roots written by In Choi and published by Cambridge University Press. This book was released on 2015-05-12 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Download or read book Comparison of Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior to the tests, the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then, the series are adjusted for these terms and unit root tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analysed and modifications are proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts.
Download or read book Unit Roots Cointegration and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Download or read book Testing for a Unit Root in Variables with a Double Change in the Mean written by Jesús Clemente and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we obtain a statistic that is useful for the analysis of the integration order of a variable which exhibits two changes in its mean. Our work begins by showing that the most commonly used unit root tests behave asymptotically in a correct manner for double changing mean variables. However, their use is not advisable in finite samples; rather, is better to design a new statistic which takes into account the presence of the two level shifts. We calculate the asymptotic distribution of this new statistic and tabulate it for several sample sizes using Monte Carlo methods. This new statistic allows us to show that the USA and UK real interest rates can be considered as stationary variables with a double shift in their mean.
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit Roots and Structural Breaks.
Download or read book Introduction to Statistical Time Series written by Wayne A. Fuller and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Download or read book Empirical Vector Autoregressive Modeling written by Marius Ooms and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, §6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.
Download or read book Unit Roots Level Shifts and Purchasing Power Parity written by Antonio Montañes and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyse the unit root hypothesis when the variable being studied exhibits two changes in its mean. To that end, we design a new statistic which tests for the joint hypothesis that the autoregressive parameter is 1 and that the parameters associated with the structural breaks that appear under the alternative hypothesis are 0. The use of this statistic shows that the real exchange rate of the US dollar with the currencies that are closely linked to the German Mark are stationary around two changes in the mean for the 1974: 1-1995: 4 sample.
Download or read book Unit Root Tests and Structural Breaks written by Paramsothy Silvapulle and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Uncertainty Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Download or read book Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 2001 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Comparison of unit root tests for time series with level shifts written by Markku Lanne and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Unit Root Testing in Time Series written by Xiao Zhong and published by . This book was released on 2015 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Unit root tests are frequently employed by applied time series analysts to determine if the underlying model that generates an empirical process has a component that can be well-described by a random walk. More specifically, when the time series can be modeled using an autoregressive moving average (ARMA) process, such tests aim to determine if the autoregressive (AR) polynomial has one or more unit roots. The effect of economic shocks do not diminish with time when there is one or more unit roots in the AR polynomial, whereas the contribution of shocks decay geometrically when all the roots are outside the unit circle. This is one major reason for economists' interest in unit root tests. Unit roots processes are also useful in modeling seasonal time series, where the autoregressive polynomial has a factor of the form (1-[zeta][superscript s]), and s is the period of the season. Such roots are called seasonal unit roots. Techniques for testing the unit roots have been developed by many researchers since late 1970s. Most such tests assume that the errors (shocks) are independent or weakly dependent. Only a few tests allow conditionally heteroskedastic error structures, such as Generalized Autoregressive Conditionally Heteroskedastic (GARCH) error. And only a single test is available for testing multiple unit roots. In this dissertation, three papers are presented. Paper I deals with developing bootstrap-based tests for multiple unit roots; Paper II extends a bootstrap-based unit root test to higher order autoregressive process with conditionally heteroscedastic error; and Paper III extends a currently available seasonal unit root test to a bootstrap-based one while at the same time relaxing the assumption of weakly dependent shocks to include conditional heteroscedasticity in the error structure"--Abstract, page iv.
