Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.Abstract:
We consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is «trend-stationary». The interest is that we allow under both the null and alternative hypotheses for the presence for a one-time change in the level or in the slope of the trend function. We show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time breakread more
Citations
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The long-run evolution of energy prices
TL;DR: In this article, the authors examined the long-run behavior of oil, coal, and natural gas prices, using up to 127 years of data, and addressed the following questions: What does over a century of data tell us about the stochastic dynamics of price evolution, and how it should be modeled? Can models of reversion to stochastically fluctuating trend lines help forecast prices over horizons of 20 years or more?
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Taylor's rule and the Fed, 1970-1997
John P. Judd,Glenn D. Rudebusch +1 more
TL;DR: The authors studied the relationship between economic developments and the Fed's response to them and found that the estimated reaction functions for each period vary in ways that seem broadly consistent with the success or failure during the period at controlling inflation.
Journal ArticleDOI
Breaking the panels: An application to the GDP per capita
TL;DR: In this paper, a test statistic for the null hypothesis of panel stationarity that allows for the presence of multiple structural breaks is proposed and applied to typical panel data of real per capita GDP in a set of OECD countries.
Journal ArticleDOI
Natural gas from shale formation – The evolution, evidences and challenges of shale gas revolution in United States
TL;DR: The history of US shale gas in this article is divided into three periods and based on the change of oil price (i.e., the period before the 1970s oil crisis, the period from 1970s to 2000, and the period since 2000), the US has moved from being one of the world's biggest importers of gas to being selfsufficient in less than a decade, with the shale gas production increasing 12fold (from 2000 to 2010).
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Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
TL;DR: Bollerslev et al. as discussed by the authors analyzed a one-year time series of fiveminute Deutschemark-U.S. Dollar exchange rates and showed that the long-memory characteristics constitute an intrinsic feature of the return generating process, rather than the manifestation of occasional structural shifts.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Journal ArticleDOI
Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
Book
Convergence of Probability Measures
TL;DR: Weak Convergence in Metric Spaces as discussed by the authors is one of the most common modes of convergence in metric spaces, and it can be seen as a form of weak convergence in metric space.
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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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