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
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Comparison of Unit Root Tests for Time Series with Level Shifts
TL;DR: In this article, the authors considered unit root tests for time series which have a level shift at a known point in time, where the shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for.
Journal ArticleDOI
The flexible Fourier form and Dickey–Fuller type unit root tests
Walter Enders,Junsoo Lee +1 more
TL;DR: In this paper, a new unit root test with a Fourier function in the deterministic term in a Dickey-Fuller type regression framework is proposed, which can complement the Fourier LM and DF-GLS unit root tests.
Journal ArticleDOI
Economic growth, CO2 emissions, and fossil fuels consumption in Iran
TL;DR: In this article, the causal relationship between economic growth, carbon emission, and fossil fuels consumption was investigated using the Toda-Yamamoto method for Iran during the period 1967-2007.
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Carbon emissions, energy consumption and economic growth: An aggregate and disaggregate analysis of the Indian economy
TL;DR: In this article, the authors investigated the long and short run relationships among carbon emissions, energy consumption and economic growth in India at the aggregated and disaggregated levels during 1971-2014.
Journal ArticleDOI
Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions
TL;DR: In this paper, a test for a unit root in a time series with a changing mean is presented. But the test is based on the unit root with a fixed number of iterations.
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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