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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Structural Unemployment, Cyclical Unemployment, and Income Inequality
TL;DR: The authors decomposes unemployment into its structural and cyclical components and investigates their impact on income distribution, controlling for the influence of inflation, showing that sustained GNP growth is not associated with an improvement in income inequality.
Journal ArticleDOI
Co2 emission and economic growth in Algeria
TL;DR: In this paper, the authors analyzed the relationship between CO2 emissions and economic growth in Algeria, taking into account energy use, electricity consumption, exports and imports, and the validity of the EKC hypothesis was tested by using the Autoregressive Distributed Lag model extended to introduce the break points.
Journal ArticleDOI
Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?
David E. Rapach,Mark E. Wohar +1 more
TL;DR: This paper used the Bai and Perron (1998, 2001, 2003) methodology to test for multiple structural breaks in the mean real interest rate for 13 industrialized countries and found extensive evidence of structural breaks for all 13 countries.
Journal ArticleDOI
The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis
TL;DR: In this paper, the authors examined the effects of oil price shocks on the real GDP of the Gulf Cooperation Council (GCC) countries using the nonlinear cointegrating autoregressive distributed lag (NARDL) model.
Journal ArticleDOI
The great appreciation, the great depreciation, and the purchasing power parity hypothesis
TL;DR: In this article, the authors investigate the hypothesis that these non-rejections can be explained by one episode, the large appreciation and depreciation of the dollar in the 1980s, by developing unit root tests which account for this event and maintain long-run PPP.
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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