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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Journal ArticleDOI
Unit root testing against the alternative hypothesis of up to m structural breaks
TL;DR: In this paper, the authors provide tests for the unit-root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum number of break allowed, m, in univariate time-series models.
Journal ArticleDOI
Behavior of GCC stock markets and impacts of US oil and financial markets
Shawkat Hammoudeh,Kyongwook Choi +1 more
TL;DR: In this paper, the short-run bilateral causal relationships among Gulf Cooperation Council (GCC) weekly equity index returns are limited and mostly unidirectional within the vector-error correction (VEC) model, and the impulse response analysis suggests that the S&P 500 shocks have positive dynamic impacts on all GCC markets over a 20-week forecast horizon.
Posted ContentDOI
How Persistent Are Shocks to World Commodity Prices
TL;DR: The authors examined the persistence of price shocks to world commodity prices using monthly IMF data on primary commodities between 1957 and 1998 and found that price shocks are typically long-lasting and the variability of the price shocks is quite wide, and discussed the implications of these findings for national and international schemes to stabilize earnings from commodity exports.
OtherDOI
Unit‐Root Tests
TL;DR: In this article, both classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principles and recent developments, and a numerical illustration and annotated references and bibliography are provided.
Journal ArticleDOI
Commodity Prices: Cyclical Weakness or Secular Decline?
Carmen Reinhart,Peter Wickham +1 more
TL;DR: The authors showed that the recent weakness in commodity prices is mostly secular, stressing the need for commodity exporting countries to concentrate on export diversification and other structural policies, since the evidence also suggests commodity prices have become more volatile.
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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