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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Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate
Hwey-Yun Yau,Chien-Chung Nieh +1 more
TL;DR: In this article, the authors employed various linear and non-linear, time-series methodologies to investigate the short-term and long-term interrelationships among the stock prices of Taiwan and Japan and the NTD/Yen exchange rate during the period of January 1991-July 2005.
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Real and nominal effective exchange rates for 22 LDCs: 1971:1–1990:4
TL;DR: The authors employed a method of constructing real and nominal effective exchange rate from the literature to produce quarterly data over the 1971-1990 period for 22 developing nations, and the results reveal that PPP fails to hold for most countries.
Journal ArticleDOI
For Whom the TEL Tolls: Can State Tax and Expenditure Limits Effectively Reduce Spending?
TL;DR: The authors show that TELs are largely ineffective, and that state officials can circumvent them by raising money through fees or borrowing, which is consistent with recent studies showing that policies passed through direct democracy can often be thwarted by the politicians charged with implementing them.
Posted Content
ARDL Modelling Approach to Testing the Financial Liberalisation Hypothesis
TL;DR: In this article, the authors examined the impact of financial liberalisation on savings and investment in Nepalese and found that the real interest rate affects both savings and investments positively, and that financial liberalization policy would lead to increased savings, increased investment and achieve efficiency in financial resource allocation.
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Does money matter in the CIS? Effects of monetary policy on output and prices
TL;DR: In this article, the authors examined the real effects of monetary policy in Russia, Ukraine, Belarus, and Kazakhstan using time-series methods and concluded that monetary policy will have only a limited scope in these countries in the near term.
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.
Related Papers (5)
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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