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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European integration, productivity growth and real convergence
Ali M. Kutan,Taner M. Yigit +1 more
TL;DR: In this article, the authors derived a stochastic endogenous growth model to investigate the impact of European Union integration on convergence and productivity growth, implying that economic integration is beneficial for member countries, especially from a long-run perspective.
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An intervention analysis of terrorism: The spanish eta case
TL;DR: In this paper, the authors evaluate what terrorism policies have worked best in handling the Spanish ETA terrorism using time series data from 1968 to 2000, and conclude that their influence on terrorism incidents is mixed.
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Re-examining Foreign Direct Investment, Exports, and Economic Growth in Asian Economies Using a Bootstrap ARDL Test for Cointegration
TL;DR: This paper examined whether there is a long-run relationship among foreign direct investment (FDI), exports, and gross domestic product (GDP) in selected Asian economies using the bootstrap autoregressive distributed lag (ARDL) test.
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Is the tourism-led growth hypothesis valid after the global economic and financial crisis? The case of Spain 1957–2014
TL;DR: In this article, the authors re-examine the tourism-led growth hypothesis (TLGH) for the Spanish case in the light of these events in order to investigate the robustness of the relationship between tourism and economic growth.
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Does financial development influence renewable energy consumption to achieve carbon neutrality in the USA
TL;DR: In this paper, the authors investigated the influence of financial development on renewable energy consumption in the U.S. from 1975Q1 to 2019Q4, using the nonlinear autoregressive distributed lags (NARDL) model.
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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