Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Reads0
Chats0
TLDR
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
More filters
Journal ArticleDOI
Questioning the empirical basis of the environmental Kuznets curve for CO2: New evidence from a panel stationarity test robust to multiple breaks and cross-dependence
TL;DR: In this paper, the authors investigated the time series properties of per capita CO2 emissions and per capita GDP levels for a sample of 86 countries over the period 1960-2000 and found that CO2 levels are nonstationary for the world as a whole while GDP levels are regime-wise trend stationary.
Posted ContentDOI
Did monetary forces cause the great depression?: a Bayesian VAR analysis for the U.S. economy
TL;DR: In this article, the effects of monetary policy against non-monetary alternatives in a Bayesian updating framework with time-varying parameters are evaluated in a modern time series framework, showing that monetary policy is able to forecast correctly at short time horizons put invariably predicts recovery at longer horizons.
Journal ArticleDOI
Optimal Fiscal Strategy for Oil Exporting Countries
Rodrigo Valdés,Eduardo Engel +1 more
TL;DR: In this article, the authors present a framework to analyze how the revenue generated by an exhaustible source of wealth that belongs to the government should be distributed between current and future generations.
Posted ContentDOI
Prebisch-Singer redux.
TL;DR: This paper revisited the argument of Prebisch and Singer (1950) that, over the long term, declining terms of trade would frustrate the development goals of the region and showed that real primary prices over the last century have experienced one or more abrupt shifts, or structural breaks, downwards.
Journal ArticleDOI
Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach
TL;DR: In this paper, an approach that accounts both for parameter and model uncertainty is employed to forecast WTI crude oil prices using a large monthly dataset, that covers the period from March 1983 to December 2011.
References
More filters
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.
Related Papers (5)
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Eric Zivot,Donald W.K. Andrews +1 more
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more