Download or read book Unit Root Testing with Slowly Varying Trends written by Sven Otto and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A unit root test is proposed for time series with a nonparametric trend component using a pooled regression of overlapping blocks. The class of trend functions considered includes any boundedly differentiable trend function with finitely many breaks. Limiting null-distributions of the pseudo t-statistic of the pooled regression are derived under two different block asymptotics. Small-b asymptotics yields a standard normal distribution and under fixed-b asymptotics a functional of Brownian motions is obtained. A nuisance parameter correction provides heteroskedasticity robust tests and serial correlation is accounted for by pre-whitening. For both tests a Monte Carlo study with slowly varying trends yields both good size and improved power results when compared to conventional unit root tests.
Download or read book A Primer for Unit Root Testing written by K. Patterson and published by Springer. This book was released on 2010-03-31 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.
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 Behaviour of Dickey Fuller Unit Root Tests Under Trend Misspecification written by Tae-Hwan Kim and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse the case where a unit-root test is based on a Dickey-Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the actual data-generating process includes a broken linear trend. It is shown theoretically, and verified empirically, that under the I(1) null and I(0) alternative hypotheses the Dickey-Fuller test can display a wide range of different characteristics depending on the nature and location of the break.
Download or read book Unit root tests Common pitfalls and best practices written by Traoré, Fousseini and published by Intl Food Policy Res Inst. This book was released on 2021-12-31 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.
Download or read book Lag Order and Critical Values of Unit Root Tests written by Yin-Wong Cheung and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Power of Tests for Unit Roots in the Presence of a Linear Trend written by Bent Nielsen and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dickey and Fuller [Econometrica (1981) Vol. 49, pp. 1057-1072] suggested unit-root tests for an autoregressive model with a linear trend conditional on an initial observation. TPower of tests for unit roots in the presence of a linear trend slightly different model with a random initial value in which nuisance parameters can easily be eliminated by an invariant reduction of the model. We show that invariance arguments can also be used when comparing power within a conditional model. In the context of the conditional model, the Dickey-Fuller test is shown to be more stringent than a number of unit-root tests motivated by models with random initial value. The power of the Dickey-Fuller test can be improved by making assumptions to the initial value. The practitioner therefore has to trade-off robustness and power, as assumptions about initial values are hard to test, but can give more power.
Download or read book Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics written by Rickard Sandberg and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work builds a flexible model accommodating nonlinear dynamics around a trend function with multiple (up to) gradual shifts. Such a model is suitable for capturing the behavior of many post World War II economic time-series subject to the onset of external causes such as oil crises, financial crises, technology changes and regulatory changes. Deriving unit root tests in this nonlinear model is of particular interest. In fact, the options of a general trend specification and nonlinear dynamics are critical to remedy unit root tests not being biased toward a non-rejection of a unit root hypothesis and prevents the first-differences of a series from being used too often. An asymptotic theory for the unit root tests is also established. The unit root tests are applied to G7 industrial production series, and evidence in favor of nonlinear trend 'stationary' models is found in a majority of the cases. The merits of the new model are further demonstrated in an estimation exercise for the US industrial production series, and evidence of four gradual shifts in the trend, different growth patterns for different periods, and business cycle asymmetries is found.
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 Predictability and Nonlinear Modelling in Natural Sciences and Economics written by J. Grasman and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers in the natural sciences are faced with problems that require a novel approach to improve the quality of forecasts of processes that are sensitive to environmental conditions. Nonlinearity of a system may significantly complicate the predictability of future states: a small variation of parameters can dramatically change the dynamics, while sensitive dependence of the initial state may severely limit the predictability horizon. Uncertainties also play a role. This volume addresses such problems by using tools from chaos theory and systems theory, adapted for the analysis of problems in the environmental sciences. Sensitive dependence on the initial state (chaos) and the parameters are analyzed using methods such as Lyapunov exponents and Monte Carlo simulation. Uncertainty in the structure and the values of parameters of a model is studied in relation to processes that depend on the environmental conditions. These methods also apply to biology and economics. For research workers at universities and (semi)governmental institutes for the environment, agriculture, ecology, meteorology and water management, and theoretical economists.
Download or read book Forecasting principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Download or read book Testing for a Unit Root in the Presence of Deterministic Trends written by Peter Schmidt and published by . This book was released on 1989 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors and Incidental Trends written by Yiannis Karavias and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The asymptotic local power properties of various fixed T)panel unit root tests with serially correlated errors and incidental trends are studied. Asymptotic (over N) local power functions are analytically derived, and through them, the effects of general forms of serial correlation are examined. We find that a test based on an instrumental variables (IV) estimator dominates the tests based on the within-groups (WG) estimator. These functions also show that in the presence of incidental trends, an instrumental variables test based on the first differences of the model has non-trivial local power in an N-1/2)neighbourhood of unity. Furthermore, for a test based on the within-groups estimator, although it is found that it has trivial power in the presence of incidental trends, this ceases to be the case if there is serial correlation as well.
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Download or read book Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function written by Sebastian Fossati and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The issue of testing for a unit root allowing for a structural break in the trend function is considered. The focus is on the construction of more powerful tests using the information in relevant multi-variate data sets. The proposed test adopts the generalized least squares detrending approach and uses correlated stationary covariates to improve power. As it is standard in the literature, the break date is treated as unknown. Asymptotic distributions are derived, and a set of asymptotic and finite sample critical values are tabulated. Asymptotic local power functions show that power gains can be large. Finite sample results show that the test exhibits small-size distortions and power that can be far beyond what is achievable by univariate tests.
Download or read book Exact Critical Values of Unit Root Tests with Drift and Trend written by Kazuhiro Ōtani and published by . This book was released on 1999 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
