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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The Court of Appeals for the Federal Circuit’s Impact on Patent Litigation
Matthew D. Henry,John L. Turner +1 more
TL;DR: In this article, the authors analyze a novel data set that permits them to consider separately the issues of validity and infringement in comparing the tendencies of the Court of Appeals for the Federal Circuit with those of its predecessor appeals courts.
Export, Imports, Remittance and Growth in Bangladesh: An Empirical Analysis
TL;DR: In this article, the authors investigated the causal nexus between export, import, remittance and GDP growth for Bangladesh using annual data from 1976 to 2005 and found limited support in favor of export-led growth hypothesis for Bangladesh as exports, imports and remittance cause GDP growth only in the short run.
Journal ArticleDOI
The relationship between the real exchange rate and balance of payments: empirical evidence for China from cointegration and causality testing
TL;DR: The authors examined the relationship between the renminbi real exchange rate and China's foreign exchange reserves using cointegration and Granger causality testing and found that in the long run foreign exchange reserve Granger causes the real exchange rates.
Journal ArticleDOI
Unemployment Hysteresis in Australian States and Territories: Evidence from Panel Data Unit Root Tests
TL;DR: This paper applied panel data unit root tests to quarterly unemployment rates for Australian states and territories between 1982:2 and 2002:1 to find evidence of hysteresis in the Australian labour market.
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Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion
TL;DR: In this paper, the authors developed accurate price forecasts of various natural resource products, such as coal, gold, and diamonds, and used them to forecast the prices of natural resources.
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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