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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Long Memory and Structural Change
TL;DR: It is shown analytically that stochastic regime switching is easily confused with long memory, so long as only a "small" amount of regime switching occurs.
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Asymmetric adjustment and smooth transitions: a combination of some unit root tests
TL;DR: In this article, the authors combined the EG and LNV methodologies to develop tests of the null hypothesis of a unit root, that under the alternative hypothesis allow for stationary asymmetric adjustment around a smooth transition between deterministic linear trends.
Journal ArticleDOI
Okun's Law and the asymmetric and changing cyclical behaviour of the USA economy
TL;DR: This article examined the impact of the changing composition of the USA economy on Okun's Law and found that the Okun coefficient has increased and that the cycle has become more asymmetric.
Journal ArticleDOI
Economic Growth and Its Determinants in Pakistan
TL;DR: In this article, the authors investigate the empirical association between human capital and economic growth and find that investment both in capital and human capital, labour force, ability to adapt technological changes, open trade polices and low inflation are necessary for economic growth.
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Monte Carlo inference in econometric models with symmetric stable disturbances
TL;DR: In this article, the authors developed Markov Chain Monte Carlo methods to perform exact posterior analysis in models with symmetric stable Paretian disturbances, where posterior moments and marginal densities of functions of parameters can be computed methodically by combining a Gibbs sampler with Metropolis independence chains.
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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