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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Did the Great Inflation occur despite policymaker commitment to a Taylor rule
James B. Bullard,Stefano Eusepi +1 more
TL;DR: In this article, the authors use the general equilibrium, sticky price framework augmented with learning using the techniques of Evans and Honkapohja [Learning and Expectations in Macroeconomics, Princeton Univ. Press, Princeton, NJ, 2003] and find that a substantial portion of the observed increase in inflation during the 1970s can be attributed to this source.
Journal ArticleDOI
How Do Consumer Buzz and Traffic in Social Media Marketing Predict the Value of the Firm
Xueming Luo,Jie Zhang +1 more
TL;DR: In this paper, a vector autoregression with exogenous variables (VARX) model was employed to capture the evolution and interdependence between the time-series of dependent variables.
Capital flows and long-term equilibrium real exchange rates in Chile
TL;DR: In this article, the authors examined the impact of capital flows, among other fundamentals, on long-term exchange rates in Chile and found that the real exchange rate and its fundamentals were cointegrated during 1960-92, allowing a reinterpretation of uni-equatorial estimates of the ERER to be consistent with long-run forwardlooking behavioral models.
Journal ArticleDOI
Convergence and catching up in ASEAN: a comparative analysis
Lee Kian Lim,Michael McAleer +1 more
TL;DR: In this paper, the authors apply different time series tests of convergence to determine if there is a convergence club for ASEAN-5 and the USA, and find evidence of several convergence clubs, in which per capita incomes have converged for selected groupings of countries and regions.
Posted Content
Testing for a unit-root with a nonlinear Fourier function
Junsoo Lee,Walter Enders +1 more
TL;DR: In this article, a unit-root test for structural break with unknown functional forms is proposed, based on the fact that the behavior of such series can often be captured using a single frequency component of a Fourier approximation.
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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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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