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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Unit roots and long-run causality: investigating the relationship between output, money and interest rates
TL;DR: In this article, it was shown that long-run non-causality is a necessary and sufficient condition for the autoregressive coefficients in AR representations to be equal to the corresponding coefficients in the VAR.
Journal ArticleDOI
Has International Financial Integration Increased
TL;DR: In this paper, the authors compare the behavior of real interest rate differentials across the major countries under the Bretton Woods regime and the regime of floating exchanges that replaced it, and investigate both the extent of market integration and its changes over time.
Journal ArticleDOI
Cyclical output, cyclical unemployment, and Okun's coefficient A structural time series approach
TL;DR: In this paper, the cyclical components of unemployment and output are extracted by smoothing using the Kalman filter as applied to Harvey's structural time series model, and the estimated Okun's coefficient is around −0.38 irrespective of the whether the model used is static or dynamic.
Posted Content
Relating the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle
Yasser Abdih,Frederick L. Joutz +1 more
TL;DR: The authors showed that the long-run impact of the knowledge stock on TFP is small, and interpreted this evidence in light of existing theoretical and empirical evidence on endogenous growth, which indicated the presence of strong intertemporal knowledge spillovers.
Journal ArticleDOI
Foreign Direct Investments, Renewable Electricity Output, and Ecological Footprints: Do Financial Globalization Facilitate Renewable Energy Transition and Environmental Welfare in Bangladesh?
TL;DR: In this paper, the impacts of FDI inflows on enhancing renewable energy use and attaining environmental sustainability in Bangladesh between 1972 and 2015 were evaluated using the autoregressive distributed lags with structural break approach to estimate the short and long-run elasticities.
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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