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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Time-Series Evidence for Balassa's Export-Led Growth Hypothesis
TL;DR: In this paper, the authors investigated the export-led growth hypothesis for Greece, Ireland, Mexico, Portugal and Turkey by constructing a vector autoregression (VAR) model and showed that export and output are causally related in the long run.
Journal ArticleDOI
Asymmetric inflation dynamics: Evidence from quantile regression analysis
Ching-Chuan Tsong,Cheng-Feng Lee +1 more
TL;DR: In this article, the authors apply the regression quantile approach developed by Koenker and Xiao (2004) to investigate the dynamic behavior of inflation in 12 OECD countries and find that the inflation rates are not only mean-reverting but also exhibit asymmetries in their dynamic adjustments, in which large negative shocks tend to induce strong mean reversion, and on the contrary, large positive shocks do not.
Journal ArticleDOI
Transmission Mechanism of Monetary Policy in Central and Eastern Europe
TL;DR: In this article, the authors reviewed the existing literature on transmission mechanism in Central and Eastern Europe and put it in a broader context of the problems related to research on monetary policy and attempted to conduct empirical analysis for 10 transition economies using analogous methodology for the same sample period 1995-2000.
Journal ArticleDOI
Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach
TL;DR: In this paper, the authors investigated the presence of asymmetries in the short and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5year Treasury bond yield and the crude oil price, using the NARDL approach.
Journal ArticleDOI
Priors for Macroeconomic Time Series and Their Application
TL;DR: In this paper, the authors take up Bayesian inference in a general trend stationary model for macroeconomic time series with independent Student-t disturbances, which is linear in the data, but nonlinear in parameters.
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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