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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Partisan politics and public debt: The importance of the 'Whig Supremacy' for Britain's financial revolution
TL;DR: The authors used an ARCH-in-mean model to show that the evolution of the Whig majority in the House of Commons provides a better explanation for government credibility than does either the assumption of a simple structural break in 1715, or an explanation focusing strictly on political stability, and ignoring partisan preferences.
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On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach
TL;DR: In this paper, the authors evaluate the convergence of energy intensities for a group of 97 countries in the period 1971-2003, using a pair-wise approach to testing for output and growth convergence.
Journal ArticleDOI
Short and long run determinants of private investment in argentina
Pablo Acosta,Andrés Loza +1 more
TL;DR: In this paper, an empirical analysis of the macroeconomic factors that can potentially affect investment decisions in Argentina in a short, medium and long run perspective is provided, which suggests that investment decisions seem to be determined, in the short run, by shocks in returns (exchange rate, trade liberalization) and in aggregate demand.
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Impact of the 2007 US financial crisis on the emerging equity markets
TL;DR: In this article, the authors explore empirically the effects of the current financial crisis on the integration and co-movements of selected stock markets of the emerging economies, namely Indonesia and Malaysia.
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The impact of collusion on price behavior: empirical results from two recent cases
TL;DR: In this article, the authors used extended ARCH and GARCH models to examine the differences in the behavior of the first two moments of the price distribution during collusive and competitive phases of two recently discovered conspiracies, citric acid and lysine.
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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