Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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TLDR
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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Investigating the EKC hypothesis with renewable energy consumption, human capital, globalization and trade openness for China: Evidence from augmented ARDL approach with a structural break
TL;DR: In this article, a U-shaped quadratic relationship between environmental pollution and income level has been determined for both CO2 emissions and ecological footprint, and the results also suggest that globalization, trade openness, and income drive environmental pollution while increasing human capital reduces the ecological footprint.
Journal ArticleDOI
The causality between energy consumption and economic growth: A multi-sectoral analysis using non-stationary cointegrated panel data
TL;DR: In this article, the causal relationship between economy and energy was analyzed by adopting a vector error correction model for non-stationary and cointegrated panel data with a large sample of developed and developing countries and four distinct energy sectors.
Journal ArticleDOI
Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
Dukpa Kim,Pierre Perron +1 more
TL;DR: In this article, the authors proposed a test procedure that allows a break under both the null and alternative hypotheses and, when a break is present, the limit distribution of the test is the same as in the case of a known break date, thereby allowing increased power while maintaining the correct size.
Journal ArticleDOI
Trend function hypothesis testing in the presence of serial correlation
TL;DR: In this paper, test statistics are proposed that can be used to test hypotheses about the parameters of the deterministic trend function of a univariate time series, and the tests are valid for I(0) and I(1) errors.
Journal ArticleDOI
Time-Varying Risk Premia and the Output Gap
Ilan Cooper,Richard Priestley +1 more
TL;DR: The output gap, a production-based macroeconomic variable, is a strong predictor of stock and bond returns as mentioned in this paper, which is a prime business cycle indicator that does not include the level of market prices.
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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