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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Book ChapterDOI
Trend, Unit Root and Structural Change in Macroeconomic Time Series
TL;DR: The unit root hypothesis has attracted a considerable amount of work in both the economics and statistics literature as discussed by the authors, and the view that most economic time series are characterized by a stochastic rather than deterministic nonstationarity has become prevalent.
the impact of a product-harm crisis on marketing effectiveness
TL;DR: In this article, a case study of an Australian product-harm crisis faced by Kraft peanut butter was used to quantify the consequences of this crisis on base sales, and on own-and cross-brand short-and long-term effectiveness.
Journal ArticleDOI
Electricity consumption and economic growth nexus in Portugal using cointegration and causality approaches
TL;DR: In this paper, the authors re-examine the relationship between electricity consumption, economic growth, and employment in Portugal using the cointegration and Granger causality frameworks and find that electricity consumption and economic growth in Portugal are cointegrated and there is bi-directional Granger causal relation between the three variables in the long run.
Posted Content
Regional Inequality in China
TL;DR: In this article, the authors reviewed the copious research on regional inequality in China and proposed that recent research has significantly improved our understanding of regional inequality but that problems still exist, and also argued that multiscale studies and investigations of the various mechanisms that affect inequality will further improve future research findings.
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.
Related Papers (5)
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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