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 relationship between renewable energy consumption and economic growth: The case of Bulgaria
Hamit Can,Özge Korkmaz +1 more
TL;DR: In this article, the authors investigated the relationship between renewable energy and economic growth of Bulgaria for the period 1990-2016, by using the Toda-Yamamoto analysis and Autogressive Distrubuted Lag (ARDL) bound test.
Journal ArticleDOI
Cointegration tests of the unbiased expectations hypothesis in metals markets
Tim Krehbiel,Lee C. Adkins +1 more
Journal ArticleDOI
Are shocks to commodity prices persistent
Paresh Kumar Narayan,Ruipeng Liu +1 more
TL;DR: In this article, Liu and Narayan (LN) test and GARCH-based unit root test of LN were used to detect unit root null for five commodity prices (iron ore, nickel, zinc, lead, and tin).
Journal ArticleDOI
The Great Leap Forward, Economic Reforms, and the Unit Root Hypothesis: Testing for Breaking Trend Functions in China's GDP Data
TL;DR: In this article, the authors evaluate empirically whether annual data for China's GDP and its sectoral components from 1952 to 1998 can be modeled more accurately as a stationary process around a breaking trend function as opposed to a unit-root process.
Journal ArticleDOI
Outlier Detection in Cointegration Analysis
Philip Hans Franses,Andre Lucas +1 more
TL;DR: This article uses outlier-robust estimation techniques to examine the impact of atypical events on cointegration analysis and proposes a new diagnostic tool for signaling when standard coIntegration results might be driven by a few aberrant observations.
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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