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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Innovative Activity over the Business Cycle
Paul A. Geroski,C. F. Walters +1 more
TL;DR: This paper examined cyclical patterns of innovative activity in the United Kingdom over the period 1948-83 and found that these clusters of innovation did not cause cyclic variations in economic activity but did Granger cause changes in innovative activity.
Journal ArticleDOI
Financial stability, energy consumption and environmental quality: Evidence from South Asian economies
TL;DR: In this article, the authors investigated the relationship between financial stability, economic growth, energy consumption and carbon dioxide (CO 2 ) emissions in South Asian countries over the period 1980-2012 using a multivariate framework Bounds test for cointegration and Granger causality approach are employed for the empirical analysis.
Journal ArticleDOI
Testing for structural breaks in cointegrated relationships
TL;DR: In this article, the authors investigate the tests of Hansen (1992) to detect structural breaks in cointegrated relations using Monte Carlo methods and show that the ADF test correctly indicates that the constant parameter cointegrating relationship is not appropriate.
Journal ArticleDOI
Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes
TL;DR: In this article, the existence of long-run relations between emerging Central European stock markets and the mature stock markets of Europe and the United States was investigated, and it was shown that the Central European markets display equilibrium relations with their mature counterparts, which persist after controlling for structural changes.
Do Expected Shifts in Inflation Affect Estimates of the Long-Run
TL;DR: In this article, the long-run relationship between nominal interest rates and inflation is examined and it is shown that the long run relationship can be deceptive when the process followed by inflation shifts infrequently.
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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