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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Defence spending and growth in turkey 1954–1993: A causal analysis
TL;DR: In this article, the causality issue between military expenditure and growth in the case of Turkey, a strategically located developing country, for the period 1954-1993 was investigated and the absence of any causal ordering between the variables in question was revealed.
Posted Content
On the Causal Nexus of Road Transport CO2 Emissions and Macroeconomic Variables in Tunisia: Evidence from Combined Cointegration Tests
TL;DR: In this paper, the authors investigated the causal relationship between road transportation energy consumption, fuel prices, transport sector value added and CO2 emissions in Tunisia for the period 1980-2012.
Journal ArticleDOI
Is there a unit root in inflation
Ólan T. Henry,Kalvinder Shields +1 more
TL;DR: In this article, the authors distinguish between non-stationarity and non-linearity in quarterly US, Japanese and UK inflation, and find that inflation in the UK and Japan is well described as a two-regime threshold unit root process, where shocks to inflation are highly persistent in one regime, but have finite lives in the other regime.
Journal ArticleDOI
Is there a Greek-Turkish arms race? : evidence from cointegration and causality tests
TL;DR: In this paper, the authors used cointegration and causality tests to find evidence of a systematic armaments competition between the two countries provided that a defence policy regime shift estimated to occur in 1985 is explicitly taken into consideration.
Journal ArticleDOI
On Modelling the Long Run in Applied Economics
TL;DR: It is argued that even though the quantity of data produced by a macroeconomy is quite large, it is still quite insufficient to capture all of the complexities of the DGP, and modelling objective has thus to be limited to providing an adequate or satisfactory approximation to the true DGP.
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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