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Unit Root Tests And Structural Breaks
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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 Unit Roots and Structural Breaks by : Pierre Perron
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit Roots and Structural Breaks.
Book Synopsis Unit Root Tests and Structural Breaks by : Paramsothy Silvapulle
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:
Book Synopsis Unit Roots and Structural Breaks by : Pierre Perron
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Book Synopsis Unit root tests: Common pitfalls and best practices by : Traoré, Fousseini
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.
Book Synopsis Economic Structural Change by : Peter Hackl
Download or read book Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
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 2001 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Recursive Adjustment, Unit Root Tests and Structural Breaks by : Paulo M.M Rodrigues
Download or read book Recursive Adjustment, Unit Root Tests and Structural Breaks written by Paulo M.M Rodrigues and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we introduce unit root tests for time series with a potential structural break computed from test regressions in which the deterministic components have been recursively adjusted. We present finite sample critical values as well as Monte Carlo results on the size and power performance of the new procedures, and compare these with other available tests in the literature, such as OLS and quasi-differenced based tests (see, for instance, Perron, (1997)Perron and Rodriguez, (2003) and Carrion-i-Silvestre et al. (2009)). The small sample behaviour of the tests is evaluated in a known and an unknown break date context allowing for negligible and non-negligible initial conditions. In the unknown break date case, two break date estimation procedures are considered, one based on the minimum unit root t-statistic and the other based on the minimum sum of squared residuals obtained from a regression on a set of deterministic variables. The size and power performance of the recursive adjustment based procedure in the unknown break date case is encouraging. A further result of this paper relates to the aditional finite sample evidence on the performance of quasi-differenced unit root tests, complementing the results in Perron and Rodriguez (2003).
Book Synopsis Unit Root Tests in Time Series Volume 2 by : K. Patterson
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 666 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.
Book Synopsis Interaction Between Unit Roots and Structural Breaks by : Charbel Bassil
Download or read book Interaction Between Unit Roots and Structural Breaks written by Charbel Bassil and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we review the recent econometric methods related to unit root tests. The central idea is the interaction between structural breaks and unit roots. We consider the standard Dickey-Fuller test and its modifications that allow under the alternative hypothesis one or multiple structural breaks. The break dates are endogenous and the number of breaks may be unknown. We investigate the size and power of these tests. Thus we consider the problem of estimating the number of structural breaks and the problem of estimating the break dates. A second type of test is reviewed, the LM unit root tests that allow under the null and the alternative hypothesis one or two unknown breaks. We also discuss the tests of structural breaks built for a stationary variables. We distinguish two types of tests: tests for a single break and tests for multiple breaks.
Book Synopsis The Impact of Structural Breaks on Unit-root Tests by : David F. Hendry
Download or read book The Impact of Structural Breaks on Unit-root Tests written by David F. Hendry and published by . This book was released on 1989 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cointegration written by Bhaskara B. Rao and published by Springer. This book was released on 2016-07-27 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: `This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Book Synopsis Unit Root Tests in the Presence of Autocorrelated Errors and Structural Change by : Junsoo Lee
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:
Book Synopsis Unit Root Tests for Time Series with a Structural Break when the Break Point is Known by : Helmut Lütkepohl
Download or read book Unit Root Tests for Time Series with a Structural Break when the Break Point is Known written by Helmut Lütkepohl and published by . This book was released on 1999 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bounds, Breaks and Unit Root Tests by : Josep Lluís Carrion-I-Silvestre
Download or read book Bounds, Breaks and Unit Root Tests written by Josep Lluís Carrion-I-Silvestre and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and position of the structural breaks. The performance of the statistics is investigated by means of Monte Carlo simulations.
Book Synopsis Cointegration Tests in the Presence of Structural Breaks by : Julia Campos
Download or read book Cointegration Tests in the Presence of Structural Breaks written by Julia Campos and published by . This book was released on 1993 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks by : G. Kapetanios
Download or read book Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks written by G. Kapetanios and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
