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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Product Aggregation, Market Integration, and Relationships between Prices: An Application to World Salmon Markets
TL;DR: In this article, the Law of One Price holds for an international market with five salmon species, which has significant implications for the world salmon market regarding both product aggregation in demand analyses and international trade policy.
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Drawing Inferences from Statistics Based on Multi-Year Asset Returns
TL;DR: In this paper, an alternative asymptotic distribution theory for statistics involving multi-year returns has been proposed, which provides substantially better approximations to the relevant finite-sample distributions and leads to empirical inferences much less at odds with the hypothesis of no mean reversion.
Journal ArticleDOI
Gls-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
TL;DR: Kim and Perron as discussed by the authors extended their work in several directions: (1) they allow for an arbitrary number of changes in both the level and slope of the trend function; (2) they adopt the quasi-generalized least squares detrending method advocated by Elliott, Rothenberg, and Stock (1996, Econometrica 64, 813-836); and (3) they consider a variety of tests, in particular the class of M-tests introduced in Stock (1999, Cointegration, Causality, and Forecasting: A
Journal ArticleDOI
Drawing inferences from statistics based on multiyear asset returns
TL;DR: In this paper, the authors developed an alternative asymptotic distribution theory for statistics involving multi-year returns, which provides substantially better approximations to the relevant finite-sample distributions.
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Energy Consumption, Financial Development and Economic Growth in India: New Evidence from a Nonlinear and Asymmetric Analysis
TL;DR: In this article, the authors investigated the asymmetric relationship between energy consumption and economic growth by incorporating financial development, capital and labour into a production function covering the Indian economy from 1960Q1-2015Q4.
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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