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Author : Ignacio Díaz-Emparanza
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Numerical Distribution Functions for Seasonal Unit Root Tests written by Ignacio Díaz-Emparanza and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen J. Leybourne
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Seasonal Unit Root Tests Based on Forward and Reverse Estimation written by Stephen J. Leybourne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990)-type seasonal unit root test statistics calculated from both forward and reverse estimation of the auxiliary regression equation. We derive the asymptotic distributions of the new test statistics under the seasonal unit root null hypothesis. We provide finite sample critical values appropriate for the case of quarterly data together with asymptotic critical values, the latter appropriate for any seasonal aspect. Monte Carlo simulation of the finite-sample size and power properties of the new tests reveals that, overall, they perform rather better than extant tests of the seasonal unit root hypothesis.
Author : Uwe Hassler
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Seasonal Unit Root Tests Under Structural Breaks written by Uwe Hassler and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test, as well as an LM variant thereof, are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions and power reductions when breaks are present. Hence, a new break corrected LM test is proposed to overcome this problem. Importantly, the correction for seasonal mean shifts bears no consequence on the limiting distributions, thereby maintaining the legitimacy of canonical critical values. Moreover, although this test assumes a breakpoint a priori, it is robust in terms of misspecification of the time of the break. This asymptotic property is well reproduced in finite samples. Based on a Monte-Carlo study, our new test is compared with other procedures suggested in the literature and shown to hold superior finite sample properties.
Download or read book Testing for Unit Roots in Seasonal Time Series with Long Period written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for seasonal unit roots has been discussed extensively in the literature. However, the test will be difficult if the time series has a long period, where the critical values for the test statistics are not available. We modify the seasonal unit roots test of Dickey, Hasza, and Fuller (1984) to investigate results for less typical, long period cases, and present some asymptotic normality properties. We also suggest an empirical adjustment to improve the normal approximation when the seasonal period is not sufficiently long. The basic idea is to use a double-index form for the seasonal time series with a long period, where d denotes the large lag number, so that the d "channels" will be independent for each i. By applying the Classical Central Limit Theorem for iid random variables, we can obtain the asymptotic result. The convergence is proved to be order independent with respect to m and d. An advantage of this technique is that one can make the adjustment and use a standard normal as a reference distribution instead of looking into the seasonal percentile tables when doing the seasonal unit roots test, no matter what kind of deterministic terms are included in the model as long as the number of the regressors is fixed. We also show that for an AR(p) model we still obtain the asymptotic normality of the unit root statistics.
Download or read book Seasonal Unit Root Tests: A Comparison written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Three major regression-based seasonal unit root tests: the DHF test introduced by Dickey et al (1984), the HEGY test proposed by Hylleberg et al. (1990) and the Kunst test introduced by Kunst (1997) are compared. The regression model for the DHF test is a reduced form of that for the Kunst test. We modify the Kunst test by using the t-statistic instead of Kunst's proposed joint F-statistic to study the influence of additional variables in the Kunst model. Also, we modify the HEGY test to test the presence of all four quarterly unit roots against the presence of roots 1 and -1. Through the comparison between the DHF test and the modified HEGY test, we find that the DHF test does not have asymptotic power one when the series only have some of the seasonal unit roots but not all of them. We call this case of partial unit roots. The asymptotic distributions derived in the paper provide the explanation of this limitation for the DHF test. Using simulation, we find that the probability that the DHF test will lead researchers to accept the seasonal unit root null hypothesis increases when the series contains more partial unit roots. For the DHF test, the test power depends on the augmented model. We derive limits of the related estimates from two augmented models for the DHF test. Both estimates are inconsistent. The test statistic obtained from the augmented model suggested by Ghysels et al. (1992) has relatively low power. For the HEGY/Kunst test, most limiting distributions for the test statistics depend on the lag augmentation but the test statistics have few problems caused by inconsistent estimates. However, the augmented models for the HEGY/Kunst test have more variables than those for the DHF test. Based on our simulation study results, the inclusion of more variables results in more loss in power when a redundant variable is included, and more sensitivity to the size distortion when the augmented lag length is less than the true lag length.
Author : In Choi
Publisher : Cambridge University Press
ISBN 13 : 1107097339
Total Pages : 301 pages
Book Rating : 4.1/5 (7 download)
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.
Author : Philip Hans Franses
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (692 download)
Download or read book Critical Values for Unit Root Tests in Seasonal Time Series written by Philip Hans Franses and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)
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.
Author : Katsuto Tanaka
Publisher : John Wiley & Sons
ISBN 13 : 1119132134
Total Pages : 1139 pages
Book Rating : 4.1/5 (191 download)
Download or read book Time Series Analysis written by Katsuto Tanaka and published by John Wiley & Sons. This book was released on 2017-03-27 with total page 1139 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reflects the developments and new directions in the field since the publication of the first successful edition and contains a complete set of problems and solutions This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein–Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections. This new edition features: • Sections to discuss nonstationary panel data analysis, the problem of differentiating between deterministic and stochastic trends, and nonstationary processes of local deviations from a unit root • Consideration of the maximum likelihood estimator of the drift parameter, as well as asymptotics as the sampling span increases • Discussions on not only nonstationary but also noninvertible time series from a theoretical viewpoint • New topics such as the computation of limiting local powers of panel unit root tests, the derivation of the fractional unit root distribution, and unit root tests under the fBm error Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second Edition, is a reference for graduate students in econometrics or time series analysis. Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at Gakushuin University and was previously a professor at Hitotsubashi University. He is a recipient of the Tjalling C. Koopmans Econometric Theory Prize (1996), the Japan Statistical Society Prize (1998), and the Econometric Theory Award (1999). Aside from the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka had published five econometrics and statistics books in Japanese.
Author : Rolf Larsson
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Distribution Approximation of Unit Root Tests in Autoregressive Models written by Rolf Larsson and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present work applies saddlepoint approximation to calculate the left-hand tail of the distribution of the unit root t test and an asymptotic equivalent test under the null hypothesis of a unit root. (This is the tail of interest when testing against a stationary alternative.) The saddlepoint equation is solved numerically. Distribution approximations are obtained both in the asymptotic and finite-sample cases. In the finite-sample case, two slightly different methods are suggested and compared.
Author : Artur C.B da Silva Lopes
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Asymptotic and Finite Sample Behaviour of Seasonal Unit Root Tests Under the Presence of a Break in the Deterministic Seasonal Pattern written by Artur C.B da Silva Lopes and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the asymptotic behaviour of the HEGY tests for quarterly data, for nonseasonal and seasonal autoregressive unit roots, when the time series being analysed is trend and deterministic seasonal stationary but exhibits a change in the seasonal pattern. Our results show that, asymptotically, the HEGY test statistics are not biased towards the acceptance of the seasonal and nonseasonal unit root hypotheses. Just under some combinations of the parameters the rejection of the false null hypothesses may require a larger sample size. Therefore, our results are also useful to understand and to predict the finite sample power properties of the tests statistics under several circumstances.
Download or read book Sample Size, Lag Order and Critical Values of Seasonal Unit Root Tests written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Badi H. Baltagi
Publisher : Springer Nature
ISBN 13 : 3030801497
Total Pages : 496 pages
Book Rating : 4.0/5 (38 download)
Download or read book Econometrics written by Badi H. Baltagi and published by Springer Nature. This book was released on 2022-01-27 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in spatial correlation, panel data, limited dependent variables, regression diagnostics, specification testing and time series analysis. Each chapter has a set of theoretical exercises as well as empirical illustrations using real economic applications. These empirical exercises usually replicate a published article using Stata, Eviews as well as SAS. This new sixth edition has been fully revised and updated, and includes new material on limited dependent variables and panel data as well as revision of basic topics like heteroskedasticity, endogeneity, over-identification and specification testing. The author also provides more exercises and empirical examples based on published economic applications.
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.
Author : Yin-Wong Cheung
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
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:
Author : Richard J. Smith
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (62 download)
Download or read book Additional critical values and asymptotic representations for seasonal unit roots tests written by Richard J. Smith and published by . This book was released on 1995 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katsuto Tanaka
Publisher : John Wiley & Sons
ISBN 13 : 1119132096
Total Pages : 903 pages
Book Rating : 4.1/5 (191 download)
Download or read book Time Series Analysis written by Katsuto Tanaka and published by John Wiley & Sons. This book was released on 2017-04-03 with total page 903 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reflects the developments and new directions in the field since the publication of the first successful edition and contains a complete set of problems and solutions This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein–Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections. This new edition features: • Sections to discuss nonstationary panel data analysis, the problem of differentiating between deterministic and stochastic trends, and nonstationary processes of local deviations from a unit root • Consideration of the maximum likelihood estimator of the drift parameter, as well as asymptotics as the sampling span increases • Discussions on not only nonstationary but also noninvertible time series from a theoretical viewpoint • New topics such as the computation of limiting local powers of panel unit root tests, the derivation of the fractional unit root distribution, and unit root tests under the fBm error Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second Edition, is a reference for graduate students in econometrics or time series analysis. Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at Gakushuin University and was previously a professor at Hitotsubashi University. He is a recipient of the Tjalling C. Koopmans Econometric Theory Prize (1996), the Japan Statistical Society Prize (1998), and the Econometric Theory Award (1999). Aside from the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka had published five econometrics and statistics books in Japanese.
