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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Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration
Hooi Hooi Lean,Russell Smyth +1 more
TL;DR: In this paper, an analysis of disaggregated petroleum consumption in the United States using univariate and multivariate Lagrange multiplier (LM) tests for fractional integration is presented.
Journal ArticleDOI
The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests*
TL;DR: In this paper, the authors generalize the unit root testing procedure based on local generalized least squares (GLS) de-trending proposed by Elliott, Rothenberg and Stock (1996) to allow for a Fourier approximation to the unknown deterministic component in the same way.
Journal ArticleDOI
Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market
TL;DR: In this paper, the authors proposed a new Autoregressive distributional lag (ADL) cointegration test in the presence of nonlinear breaks approximated by a Fourier function.
Journal ArticleDOI
Retail-Price Drivers and Retailer Profits
TL;DR: In this paper, the relative importance of competitive retailer prices, pricing history, brand demand, wholesale prices, and retailer category-management considerations as drivers of retail prices was quantified based on multivariate time-series analysis of two rich data sets.
Journal ArticleDOI
The impact of economic development on environmental degradation in Qatar
TL;DR: In this paper, the authors investigated the environmental Kuznets curve (EKC) hypothesis by employing the ecological footprint (EF) as an indicator of environmental degradation in Qatar over the 1980-2011 period.
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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