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Author : A. M. Robert Taylor
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (248 download)
Download or read book On the Asymptotic Properties of Some Seasonal Unit Root Tests written by A. M. Robert Taylor and published by . This book was released on 2002 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
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 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.
Author : Perron, Pierre
Publisher : Montréal : Dép. de sciences économiques, Université de Montréal
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (424 download)
Download or read book Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties written by Perron, Pierre and published by Montréal : Dép. de sciences économiques, Université de Montréal. This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : K. Patterson
Publisher : Springer
ISBN 13 : 023029930X
Total Pages : 676 pages
Book Rating : 4.2/5 (32 download)
Download or read book Unit Root Tests in Time Series Volume 1 written by K. Patterson and published by Springer. This book was released on 2011-02-25 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
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 : Paulo M. M. Rodrigues
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (249 download)
Download or read book Asymptotic Distributions for Regression-based Seasonal Unit Root Tests in a Near-integrated Model written by Paulo M. M. Rodrigues and published by . This book was released on 2003 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Brendan Kinnane Beare
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Unit Root Testing with Unstable Volatility written by Brendan Kinnane Beare and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit root test statistics may not have the usual asymptotic properties when the variance of innovations is unstable. In particular, persistent changes in volatility can cause the size to differ from the nominal level. We propose a class of modified unit root test statistics that are robust to the presence of unstable volatility. The modification is achieved by purging heteroskedasticity from the data using a kernel estimate of volatility before the application of standard tests. In the absence of deterministic trend components, this approach delivers test statistics that achieve standard asymptotics under the null hypothesis of a unit root. When the data are homoskedastic, the local power of unit root tests is unchanged by our modification. We use Monte Carlo simulations to compare the finite sample performance of our modified tests with that of existing methods of correcting for unstable volatility.
Author : Eric Ghysels
Publisher : Cambridge University Press
ISBN 13 : 9780521565882
Total Pages : 258 pages
Book Rating : 4.5/5 (658 download)
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
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 : Maduka Nilanga Rupasinghe
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (815 download)
Download or read book Sieve Bootstrap Based Prediction Intervals and Unit Root Tests for Time Series written by Maduka Nilanga Rupasinghe and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The application of the sieve bootstrap procedure, which resamples residuals obtained by fitting a finite autoregressvie (AR) approximation to empirical time series, to obtaining prediction intervals for integrated, long-memory, and seasonal time series as well as constructing a test for seasonal unit roots, is considered. The advantage of this resampling method is that it does not require knowledge about the underlying process generating a given time series and has been shown to work well for ARMA processes. We extend the application of the sieve bootstrap to ARIMA and FARIMA processes. The asymptotic properties of the sieve bootstrap prediction intervals for such processes are established, and the finite sample properties are examined by employing Monte Carlo simulations. The Monte Carlo simulation study shows that the proposed method works well for both ARIMA and FARIMA processes. Following the existing sieve bootstrap frame-work for testing unit roots for nonseasonal processes, we propose new bootstrap-based unit root tests for seasonal time series. In this procedure, the bootstrap distributions of the well known Dickey-Hasza-Fuller (DHF) seasonal test statistics are obtained and utilized to determine the critical points for the test. The asymptotic properties of the proposed method are established and a Monte Carlo simulation study is employed to demonstrate that the proposed unit root tests yield higher powers compared to the DHF test. Also, a sieve bootstrap method is implemented to obtaining prediction intervals for time series with seasonal unit roots. The asymptotic properties of the proposed prediction intervals are established and a Monte Carlo simulation study is carried out to examine the finite sample validity. Finally, we derive expressions for the asymptotic distributions of the Dickey-Fuller (DHF) type test statistics, under weakly dependent errors and show that they can be expressed as functional of the standard Brownian motions. Currently, the asymptotic results are available only for non-seasonal time series"--Abstract, leaf v
Author : Kiwhan Kim
Publisher :
ISBN 13 :
Total Pages : 238 pages
Book Rating : 4.3/5 (129 download)
Download or read book Properties of Unit Root Tests with Heterogeneous and Dependent Errors written by Kiwhan Kim and published by . This book was released on 1990 with total page 238 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 : Badi H. Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 047099830X
Total Pages : 736 pages
Book Rating : 4.4/5 (79 download)
Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
