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Author : Niels Haldrup
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book On the Robustness of Unit Root Tests in the Presence of Double Unit Roots written by Niels Haldrup and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Lawrence Sen
Publisher :
ISBN 13 :
Total Pages : 320 pages
Book Rating : 4.:/5 (147 download)
Download or read book Robustness of Single Unit Root Test Statistics in the Presence of Multiple Unit Roots written by David Lawrence Sen and published by . This book was released on 1985 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Lawrence Sen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
Download or read book Robustness of Single Unit Root Test Statistics in the Presence ...... written by David Lawrence Sen and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bent Nielsen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
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 : K. Patterson
Publisher : Springer
ISBN 13 : 0230248454
Total Pages : 301 pages
Book Rating : 4.2/5 (32 download)
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.
Author : Agostino Di Ciaccio
Publisher : Springer Science & Business Media
ISBN 13 : 3642210368
Total Pages : 464 pages
Book Rating : 4.6/5 (422 download)
Download or read book Advanced Statistical Methods for the Analysis of Large Data-Sets written by Agostino Di Ciaccio and published by Springer Science & Business Media. This book was released on 2012-03-14 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theme of the meeting was “Statistical Methods for the Analysis of Large Data-Sets”. In recent years there has been increasing interest in this subject; in fact a huge quantity of information is often available but standard statistical techniques are usually not well suited to managing this kind of data. The conference serves as an important meeting point for European researchers working on this topic and a number of European statistical societies participated in the organization of the event. The book includes 45 papers from a selection of the 156 papers accepted for presentation and discussed at the conference on “Advanced Statistical Methods for the Analysis of Large Data-sets.”
Author : Nigar Hashimzade
Publisher : Edward Elgar Publishing
ISBN 13 : 0857931024
Total Pages : 627 pages
Book Rating : 4.8/5 (579 download)
Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author : Compiled by the British Library of Political and Economic Science
Publisher : Routledge
ISBN 13 : 1134340036
Total Pages : 675 pages
Book Rating : 4.1/5 (343 download)
Download or read book IBSS: Economics: 2002 Vol.51 written by Compiled by the British Library of Political and Economic Science and published by Routledge. This book was released on 2013-05-13 with total page 675 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1952, the International Bibliography of the Social Sciences (anthropology, economics, political science, and sociology) is well established as a major bibliographic reference for students, researchers and librarians in the social sciences worldwide. Key features * Authority: Rigorous standards are applied to make the IBSS the most authoritative selective bibliography ever produced. Articles and books are selected on merit by some of the world's most expert librarians and academics. *Breadth: today the IBSS covers over 2000 journals - more than any other comparable resource. The latest monograph publications are also included. *International Coverage: the IBSS reviews scholarship published in over 30 languages, including publications from Eastern Europe and the developing world. *User friendly organization: all non-English titles are word sections. Extensive author, subject and place name indexes are provided in both English and French. Place your standing order now for the 2003 volumes of the the IBSS Anthropology: 2002 Vol.48 December 2003: 234x156: Hb: 0-415-32634-6: £195.00 Economics: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32635-4: £195.00 Political Science: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32636-2: £195.00 Sociology: 2002 Vol.52 December 2003: 234x156: Hb: 0-415-32637-0: £195.00
Author : Compiled by the British Library of Political and Economic Science
Publisher : Psychology Press
ISBN 13 : 0415326354
Total Pages : 676 pages
Book Rating : 4.4/5 (153 download)
Download or read book International Bibliography of Economics written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2003 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Author :
Publisher :
ISBN 13 :
Total Pages : 560 pages
Book Rating : 4.F/5 ( download)
Download or read book METU Studies in Development written by and published by . This book was released on 2004 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 : Christoph Hanck
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (317 download)
Download or read book Nonstationary-volatility Robust Panel Unit Root Tests and the Great Moderation written by Christoph Hanck and published by . This book was released on 2009 with total page 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 : Junsoo Lee
Publisher :
ISBN 13 :
Total Pages : 304 pages
Book Rating : 4.3/5 (129 download)
Download or read book Unit Root Tests in the Presence of Autocorrelated Errors and Structural Change written by Junsoo Lee and published by . This book was released on 1991 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paramsothy Silvapulle
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.3/5 ( download)
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:
