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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Does Money Matter in Canada? Evidence from a Vector Error Correction Model
TL;DR: This article investigated the statistical properties of a set of Canadian and U.S. economic time series and used the data to address the question of the importance of monetary variables in Canadian business cycle fluctuations.
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Wagner versus Keynes: Public spending and national income in Italy
TL;DR: In this paper, a survey of the economic literature on this issue is shown, before estimating the specifications of Wagner's Law for some specific items of public spending (for interests, for final consumption, for labor dependent income, for grants on production, and for public investments), according to the Bank of Italy classification.
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Major's lesser (not minor) effects: prime ministerial approval and governing party support in Britain since 1979
TL;DR: In this article, the authors compared the impact of prime ministerial approval on governing party vote intentions during the Thatcher and Major eras, and found that prime ministers' approval had stronger short-and long-run effects on vote intentions.
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Income inequality and CO2 emissions: Empirical evidence from Turkey:
TL;DR: In this paper, the authors investigated the impact of income inequality on environmental quality in Turkey within the Environmental Kuznets Curve framework and observed the short-run and long-run environmental quality of Turkey.
Journal ArticleDOI
Equity Market Integration versus Segmentation in Three Dominant Markets of the Southern African Customs Union: Cointegration and Causality Tests
Jenifer Piesse,Bruce Hearn +1 more
TL;DR: In this article, the authors used a unique panel of equity market indices from the principal Southern African Customs Union (SACU) markets to test the hypothesis of market integration using a cointegration approach.
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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