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Seasonal Unit Root Tests Based On Forward And Reverse Estimation
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Book Synopsis Seasonal Unit Root Tests Based on Forward and Reverse Estimation by : Stephen J. Leybourne
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.
Book Synopsis Almost All About Unit Roots by : In Choi
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.
Book Synopsis Seasonal Unit Root Tests: A Comparison by :
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 :Compiled by the British Library of Political and Economic Science Publisher :Psychology Press ISBN 13 :9780415354776 Total Pages :698 pages Book Rating :4.3/5 (547 download)
Book Synopsis International Bibliography Of Economics 2003 by : Compiled by the British Library of Political and Economic Science
Download or read book International Bibliography Of Economics 2003 written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2004-12 with total page 698 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.
Book Synopsis Unit Root Tests in Time Series Volume 1 by : K. Patterson
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.
Book Synopsis Seasonal Unit Root Tests Under Structural Breaks by : Uwe Hassler
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.
Book Synopsis Unit Roots, Cointegration, and Structural Change by : G. S. Maddala
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.
Book Synopsis Series-Specific Unit Root Tests with Panel Data by : Janice Boucher Breuer
Download or read book Series-Specific Unit Root Tests with Panel Data written by Janice Boucher Breuer and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unit root testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root tests. This test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) tests for a unit root. In contrast to extant panel unit root tests, our test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller test.
Book Synopsis Testing for a Unit Root in Panels with Dynamic Factors by : Hyungsik Roger Moon
Download or read book Testing for a Unit Root in Panels with Dynamic Factors written by Hyungsik Roger Moon and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. We propose unit root tests in this environment and derive their (Gaussian) asymptotic distribution under the null hypothesis of a unit root and local alternatives. We also show that these tests have no power against the same local alternatives when it is necessary to remove deterministic components. Through Monte Carlo simulations, we provide evidence on the finite sample properties of these new tests.
Book Synopsis Unit Root Tests Based on Instrumental Variables Estimation by : Junsoo Lee
Download or read book Unit Root Tests Based on Instrumental Variables Estimation written by Junsoo Lee and published by . This book was released on 1991 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Unit Root Testing in Time Series by : Xiao Zhong
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.
Book Synopsis Bootstrapping Seasonal Unit Root Tests by : P. Burridge
Download or read book Bootstrapping Seasonal Unit Root Tests written by P. Burridge and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Unit Roots in Seasonal Time Series with Long Period by :
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.
Book Synopsis Seasonal Unit Roots Testing Based on the Temporal Aggregation Seasonal Cycles by :
Download or read book Seasonal Unit Roots Testing Based on the Temporal Aggregation Seasonal Cycles written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Critical Values for Unit Root Tests in Seasonal Time Series by : Philip Hans Franses
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:
Download or read book Journal of Econometrics written by and published by . This book was released on 2001 with total page 860 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comparison of Unit Root Tests for Time Series with Level Shifts by : Markku Lanne
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.
