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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Threshold cointegration: overview and implementation in R
TL;DR: In this paper, the authors provide a rough overview of the field of threshold cointegration, from the seminal paper of Balke and Fomby (1997) to the recent developments.
Journal ArticleDOI
Examining structural breaks and growth rates in international health expenditures
TL;DR: Health expenditures share a common break in both bivariate and trivariate cases, and structural breaks and break intervals suggest that either one or a combination of events have contributed to the commonality of break in health expenditures in the G3 and European countries.
Journal ArticleDOI
Regional House Prices and the Ripple Effect in Malaysia
Hooi Hooi Lean,Russell Smyth +1 more
TL;DR: This article applied univariate and panel Lagrange multiplier unit root tests with one and two structural breaks to the ratio of the regional to national house price to examine the ripple effect for five different housing price indices (aggregate housing, detached housing, semi-detached housing, terrace housing and high-rise housing) across 14 regional locations in Malaysia.
Journal ArticleDOI
Foreign direct investment, financial development, and economic growth: the case of Malaysia
Chee-Keong Choong,Kian-Ping Lim +1 more
TL;DR: In this article, an analysis of the interaction between foreign direct investment (FDI) and financial development in promoting Malaysia's economic growth using a co-integration framework is presented.
Journal ArticleDOI
The Brazilian business and growth cycles
TL;DR: In this paper, a Markov switching model is fitted to quarterly and annual real production data to define different phases of cyclical fluctuations of real Brazilian production and reveal asymmetries across the different states of the Brazilian business and growth cycles.
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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