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
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Trade openness and co2 emissions in tunisia
TL;DR: In this paper, the authors disentangle the long and short-run relationship between trade openness, income per capita and CO2 emissions in Tunisia, as well as the extent of Granger causality among these variables.
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Causality and contagion in emu sovereign debt markets
TL;DR: In this paper, the authors apply the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavior.
Journal ArticleDOI
The relationship between saving and investment for japan
TL;DR: In this article, the authors revisited the saving and investment nexus as postulated by Feldstein and Horioka (FH) and derived the long-run elasticities using the autoregressive distributed lag modeling approach for Japan over the period 1960-1999.
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New Evidence of the Real Interest Rate Parity for OECD Countries Using Panel Unit Root Tests with Breaks
TL;DR: In this paper, the real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4 was tested using several unit root or stationarity tests for panels valid under cross-section dependence and presence of multiple structural breaks.
Posted Content
Wagner Versus Keynes: Public Spending and National Income in Italy
TL;DR: In this paper, the authors assess the empirical evidence of Wagner's Law in Italy for the period 1960-2008 at a disaggregated level, using a time series approach, and find a cointegration relationship for three out of five items.
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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